Use Sharp models to create an efficient investment portfolio Study of a sample of companies listed in the Iraqi Stock Exchange

Abstract

This study examines the formation of an efficient investment portfolio based on the data of the Daily share prices 2/6/2015 to 28/6/2017, using Sharpe models. 15 companies were selected, included the first portfolio Was (7) companies, the second (8) companies, The study found that the second portfolio was efficient, based on Sharpe models. The return of the portfolio (0.0052), the standard deviation (0.1900), the Sharpe ratio (0.1594), the beta coefficient (-0.0039), and the desired return rate (25%) it was efficient the market portfolio and the first portfolio. And that the weight of the stock Must be equal of 100%100% of the Iraqi Credit Bank in the first portfolio.