PORTFOLIO SELECTION AND OPTIMAL DECISION REGARDING MARKOWITZ AND SHARPE MODELS

This study aims to build an optimal portfolio and make a comparison between Sharpe's Single Index Model and Markowitz's Mean-Variance Optimization model in selecting the optimal portfolio for the Iraqi Stock Exchange as an initial stock exchange market. The comparative analysis method was used.The study population represented all companies listed in the regular market onthe Iraqi Stock Exchange, which are 93 companies during the period 2012 to 2019.The study sample includes49 companies distributed among the market sectors.The monthly return of the stocks was used as the study analysis. Uses multiple research methods to support hypotheses optimization techniques and statistical analysis. Several results were reached. The main one is thatthe Sharpe portfolio outperformed the Markowitz portfolio in return but atahigher risk.In addition, the Sharpe portfolio outperformed the Markowitz portfoliowhen calculating the Sharpe ratio.Statistically,a difference was found between the return of the two portfoliosin favor of Sharpe’sportfolio. The study recommends investors in the Iraqi Stock Exchange adopt mathematical models, especially the Sharpe model when making their own decisions aboutselecting and building investment portfolios.