Investment Portfolio Evaluation using the Prospect ratio model /An Analytical Research in several Companies Listed in Iraq and Network stock Exchange

Abstract

This research aims to assess investment portfolios using a scientific approach that relies on return and risk, based on the Prospect Ratio model. Accordingly, the research problem arises in the form of a key question: "Does the Prospect Ratio model contribute to providing objective and accurate results regarding investment portfolio performance?" To achieve the research objective, the study adopts a sample that includes all companies listed in the Iraq Stock Exchange Index (IXS60), classified as a weak-form market, and all companies listed in the Dow Jones Industrial Average Index (DJIA30), classified as a semi-strong market, covering the period from 2014 to 2023, with a total of 13,124 observations. The research has led to several key conclusions, most notably that incorporating skewness and kurtosis in the downside returns within the Prospect Ratio provides more accurate insights into performance. Among the most significant recommendations, the study emphasizes the importance of guiding investors in financial markets to evaluate their investment portfolios using multiple models rather than relying on a single model to ensure a comprehensive assessment. Additionally, investors should conduct periodic and systematic evaluations of their portfolios.