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Modeling and Forecasting Mudharabah Investment with Risk by Using Geometric Brownian Motion

  • Nurizzati Azhari
  • Maheran Mohd JaffarEmail author
Conference paper
Part of the Communications in Computer and Information Science book series (CCIS, volume 652)

Abstract

This study developed mudharabah investment with risk model by considering the rate of return as a total of deterministic profit rate and a function of white noise that is geometric Brownian motion. The result shows that the investment is considered as accurately forecast when using this developed model. The profit from mudharabah investment is compared with single party investment. The result obtained shows that the profit difference between mudharabah investment and single party investment is very small. It is verified that the developed model can be used in forecasting the investment and profit for two parties.

Keywords

Mudharabah Geometric Brownian motion Investment 

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Copyright information

© Springer Nature Singapore Pte Ltd. 2016

Authors and Affiliations

  1. 1.Department of Mathematics, Faculty of Computer and Mathematical SciencesUniversity Teknologi MaraShah AlamMalaysia

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