Portfolio Optimization and Performance Evaluation in Malaysia: A Comparative Analysis of Markowitz Mean–Variance and Sharpe Single Index Models

This study examines the performance of portfolio optimization methods within the Malaysian capital market, where equities, bonds, and sukuk provide a unique mix of investment opportunities. The purpose is to evaluate how traditional Markowitz mean–variance optimization compares with the Sharpe single index model in constructing efficient portfolios under Malaysia’s dual conventional–Islamic financial system. The research addresses a gap in existing studies, which often focus on single asset classes or benchmark comparisons without integrating primary issuance, corporate actions, and sectoral dynamics into a full portfolio framework.

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Publication Details

Journal
International Journal of Research and Innovation in Social Science
Published
2025-10-02
DOI
https://doi.org/10.47772/ijriss.2025.909000144
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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Portfolio Optimization and Performance Evaluation in Malaysia: A Comparative Analysis of Markowitz Mean–Variance and Sharpe Single Index Models

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Portfolio Optimization and Performance Evaluation in Malaysia: A Comparative Analysis of Markowitz Mean–Variance and Sharpe Single Index Models

Siti Nur Aqilah Ab Wahab, Hossam El-Din M. Omar, Izani Ibrahim, Nik Rozila Nik Mohd Masdek, Zahirah Hamid Ghul, Bushra Mohd Zaki
article en

Abstract

This study examines the performance of portfolio optimization methods within the Malaysian capital market, where equities, bonds, and sukuk provide a unique mix of investment opportunities. The purpose is to evaluate how traditional Markowitz mean–variance optimization compares with the Sharpe single index model in constructing efficient portfolios under Malaysia’s dual conventional–Islamic financial system. The research addresses a gap in existing studies, which often focus on single asset classes or benchmark comparisons without integrating primary issuance, corporate actions, and sectoral dynamics into a full portfolio framework.

International Journal of Research and Innovation in Social Science
Openalex Percentile: Top 65%
Financial Markets and Investment Strategies
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