Constructing The Optimal Investment Portfolio Under Parametric Uncertainty A Comparative Analytical Study of a Sample of Companies Listed on The Iraqi Stock Exchange for The Period From (2017 – 2023)
Ali Iyad Hadi Al-Saadi, Ali Abdel Azim Jaber, Haider Nasser Hussein Al-Mayal
Warith Scientific Journal
2024, Volume 6, Issue August عدد خاص, Pages 427-454
Abstract
The Aim of This Research Is to Study the Effect of Parametric Uncertainty on Choosing the Optimal Investment Portfolio. In Most Realistic Problems, The Parameters of Return Distributions Are Unknown and Are Estimated Using Available Economic Data. Traditional Analysis Neglects Estimation Risks by Dealing with The Estimated Parameters as If These Parameters Were Real to Determine the Optimal Choice in Light of Uncertainty. The Research Sample Included (38) Companies Listed on The Iraq Stock Exchange for The Period From (2017-2023), As the Number of Observations Reached (80) Views. The Research Reached a Set of Conclusions, Including That for Normally Distributed Returns, The Acceptable Set of Portfolios That Take into Account Parametric Uncertainty in Estimation Is Similar to That Provided by Traditional Analysis, But as A Result of Parametric Uncertainty, The Optimal Choice of Portfolio Differs from That Obtained. Through Traditional Analysis Through the Difference in Weights or Investment Ratios Between Both the Traditional Approach and Portfolio Selection Under Parametric Uncertainty. In Addition, The Characteristics and Performance of The Optimal Portfolio Under the Traditional Approach Are Different from The Optimal Portfolio Under Parametric Uncertainty.
