This paper aims to assess the performance of Islamic portfolios vis-à-vis their conventional counterparts across two distinct periods: the pre-COVID-19 era and the COVID-19 era. Departing from prior studies, this study makes a novel contribution by employing an extensive array of 18 portfolio optimization techniques to construct optimal portfolios for conventional stock indices encompassing energy, utilities, and environmental, social, and governance (ESG) dimensions, as well as their Islamic equivalents. Performance comparisons are made utilizing three risk-adjusted performance measures, namely the Sharpe ratio, the Omega ratio, and the Sortino ratio. Our findings reveal that Shariah portfolios outperform conventional portfolios across all performance measures and risk-aversion levels when the most effective optimization methods are employed, both during pre-crisis and crisis periods. Additionally, our analysis highlights certain methods, namely EWMA, GM, DCC, and SHC, which produce portfolios exhibiting superior performance relative to alternative methods, as assessed by risk-adjusted metrics. Furthermore, Islamic portfolios demonstrate higher average returns compared to their conventional counterparts. Notably, incorporating ESG-related stocks into energy and utilities assets significantly enhances average returns, underscoring the potential of ESG investments. Collectively, our findings have noteworthy implications for investors, as they emphasize the role of Islamic stocks as effective diversifiers, yielding favorable resource allocation opportunities during times of crisis as well as stability. However, investors should exercise caution in selecting the optimal portfolio optimization method, as substantial performance disparities exist among different approaches.

本文旨在评估伊斯兰投资组合在两个不同时期（即 COVID-19 之前的时代和 COVID-19 时代）相对于传统投资组合的表现。与之前的研究不同，本研究做出了新颖的贡献，采用了广泛的 18 种投资组合优化技术，为涵盖能源、公用事业以及环境、社会和治理 (ESG) 维度的传统股票指数构建了最佳投资组合，及其伊斯兰教的等价物。绩效比较是利用三种风险调整绩效指标进行的，即夏普比率、欧米茄比率和索尔蒂诺比率。我们的研究结果表明，无论是在危机前还是危机期间，当采用最有效的优化方法时，伊斯兰教法投资组合在所有绩效指标和风险规避水平上都优于传统投资组合。此外，我们的分析强调了某些方法，即 EWMA、GM、DCC 和 SHC，根据风险调整指标的评估，这些方法产生的投资组合相对于替代方法表现出优越的性能。此外，与传统投资组合相比，伊斯兰投资组合表现出更高的平均回报。值得注意的是，将 ESG 相关股票纳入能源和公用事业资产可显着提高平均回报，凸显 ESG 投资的潜力。总的来说，我们的研究结果对投资者具有显着的影响，因为它们强调了伊斯兰股票作为有效多元化工具的作用，在危机和稳定时期产生有利的资源配置机会。然而，投资者在选择最佳投资组合优化方法时应谨慎行事，因为不同方法之间存在巨大的绩效差异。