% & % ' %(

!
"# $
The role of beta coefficient in constructing optimal portfolio
Applied study about sample of companies listed in Iraq stock
exchange
$
!' "
!
! $ ! . / # - )!
! $ + (, * *' ! $ )

! "# $ % &
! "5 6 7 8 -CAPM) +
.
/, 0,
+12 34,
-* + ,
)(
'"
+
? @ : ;:< = >1
+# . , -CAPM) 34,
9 1
C 15 D #
5
5
/, 0,
C ,E F$ 5$ G
H9:A B +
/,0, A
/, 0, $ C ,E 8 E ? , L %/.
2
&1 I +
> ? @ : J K,
%,2
B + AE = . AE M+9 " N
O P4 : 8 I >
H +5
1 O @:
%, -CML)
R. %,
&7 -CAPM) 34,
'"
8+5 !"# Q5
U6 5 J K, N$ , Q5
$ B A
'" T, H' 6 7 8 -SML) +
% S
B
V +
W #
/ +# . + .
ABSRACT
This research Concern with the most sophisticated theories in
financial investment, they are portfolio theory of (Markowitz)
and capital Assets pricing Model (CAPM) by analyzing the core
component in (CAPM) that is the (Beta) which reflect and diagnose
the systematic risk in financial assets, and summarizing it as the
volatility of the returns of the financial assets compared with the
market returns and with connection it. This can declare the risk that
inherent in. Then give the investor the best imagination about the
risks and returns of that asset. That enables him to take his best
investing decision on scientific bases. Our research links between
portfolio theory, (CAPM), Capital market line (CML), and security
market line (SML), through the concept of (optimal portfolio) declares
the importance of (Beta) and its role in financial investment.

"# ! $

%# !

) !

&

. -/ .

'

" (

,- ) !

$
$

2
3 #
1

! ) 3#

-/ !

1( 6

:
+

>4 ;

%1(

#
C

>! >
8# 1

1(

A1

"

"

%1(

C/ !

"

#
A1

!
<

) 4 !) (

C (

:
#

" 22 *7 8"

A4 7 /
22

# !

8" !

G B

8# 7
2

" A 4 %1( 7

4 7< ? $<

"

( < %1( A 4 B

!;

C (5

E @ 3#

/D

%1( F

<

8"
!

$<

!B

9
=4

? 6"
C

<

( <

1
<

? 4+

=4

%1( / >4 ;CAPM:

/D( ! B

-/
5

"
4

! 1#

8#

=4

<

$ 1#
(

1(

!
#

1@

D"

# ;*7 8" :

B
H4

I+

*7

8" 1

"

G B

-/

44

C (

( !

/ 1

!) +
<

8" ! @
"

!* "
+

"

* " BC ?# 6"
H

>
8#

, -0

"9 <

7 < ?!)
2

A4 !

< >

' 9

? 4 +

8# 7

4 %1( F

>
1 3#

( %1( A 4 B

!
"#

8#

7
B

"
G B

!; "

: %1( F

% 3#

#
&

1(*

( !>

"

? 4 + %1(
2

F
(

%1(

E @

C?
#

$+ '

F & >4 ;CAPM: =4

# )

! 8#

3#
B

"

$D+

!)

"
$

2;

<

"

. ( 3#

: * 81 3# E K'

"

H4

!
% &

NM
*7 8"
2

"

8
8#

<

%1( 3#

C (

"
%1(

C(

*&8"

8#

'(
)*
<

( < >!

"1

0 O* $ "

<

8#

8#

C ( %1( $ -# F

!9 4 "
F

F
!

!2
<

;McMenamin;1999:198:2 #
8#

% F -

8#

3#

8# 1 $
(

B
8#

!
K

P< 8 >

"

# =
+ 6

( <

<

)
8

>

" F0
(

A 4" !

! -

8#

A1

-?

; ;

4 2;Bhalla:2006:302 O

%1( $

(3#

8#

#O

'

+ & N

( <

2
K !

)*

B
"8

8"
1( =4

1( ( /
B

C (

!
+

+ ) C (' A 4" !2 ;
Q,

5 /

? ! 1?

C ( %1(

O *7 8"

>4 ;Diversification : 5

22

+
"

1( >
;

M>

%1(

9< 5

;S

1(

8#

22

1
1

/D

? >4

8#

-/

(>

8#

8#
1( 6

O%( .
11?

8# 1

* C<

"

(6

<

%1(

"

8#
1( B#
D

% > $""
8#

:;Bodie:2007;163:

? ! -/

"

%1(

"

8#

"

%1(

<

M>

%1( A 4" !

! ( <"

%1( H 0 6
M>

%1(

! (Brigham &Davis:2004:46)

" >

% 1( )

H7 8"
;

8#

2;
;

>

# %

H4

"
% 1(

<

# B#

<

"0

1( 6

+
8#

/ ) 4 ONaive diversification=4

"8

:$ 1?

( < 7 / %1(

# A

/ /5

8 !) <

+ $ 1? % A 4 R

B
$

"

1( $ -# 5/

? * -

+ $" $ #

E 8+ % >

+ $/

<

3# /
) D

%1(
+

%1(

< 4 H

>4 5

I+

C( > *

1" )

R
8#

;Brigham & Davis:2004:78: O5/

E @

M < : OB

8#

>

3#

1(
8#

?
NM;Bhalla:2006:312:

%1(

N
2* #

2
2) /
% 1(

%1(

5/

C
C

94 4 6
%1(

% F
%1(

! %1(

G >

$ 8 *
2$/

+
+

N
?

' N

? * (/
2>

%1(

) #

# R
1 8

0 C

N
#

)(

( < %1(

!4

4 B

+ % >&

81 +

# R

>4

$/

M>

! 81 +

:2 *

E
*

8#

# R

( <

%1(

8#

A4
? * #

8#

%?

)1

? ?#
# $ "
#

5 <

$D+

; Efficient frontier); 7
F

H4

"

#
8"

( <

$/

%1(
C

+ %1( 5? *7&8"
%1(

; : $"

+ :%
C

+ ,

!R +

! ;Bodie:2007;181:

C
$
#

( <

( < $
8#

>4

+ >

2#

"

!
#

9
8#
C

0!;
R

:
>

+ %

#
?

$
!

+ 4 %1( 5?
+

>

#
C ( %1(

4
? ) 1(

? ;9! :

4 ; S: T
2

; S: $/

C ( ?

; S: C ( %1(

%1( ; S ! S: ?
?

1"

R +

%1(

7 8"

%1(

; S ! S! S : >

4"

; S : T1

'(

!5 <

<

%1

%1

8#

A1

%1( F

42 -/
V

8#

% # 2 1#

4< 6 8

"

! 5/

; ; : $"

5 <

1( ! ;

"

" ; $"

* <

<

6 7

%#
8#

+ 7
F

2 "

/ / 7 8"

$" 6"
A1

1"
D

"

<: ! ;

# 1 7 8"

'

1 7
M>

% # %1( 5?

8 5
5/

1( $-#

%#

1
%#
8#

%1(

*#

# 7

1 7
$

E @ 7<

$" $

% # : %1( 7

8#

4<

%#
%1

+
*

<

A 1

2 %1( C ( %1( >

)

*#

# :H (

%# :

;Brue&McConell:2000:410)

8
#

! A1

K A1

7F"
$

( <

/ ? ?# H4

# %1(

8#

C? ;

1(

>0 )
Q

4<

, (

A4 ! R +

<

<

1"

2 7F"

68 %1(

68

%1( 5?

#
8#

8#
#

# F
?

" ! *7 8"
"

1 7

7
)

H4

"

; < + : "
"

8#

R +

8#

8#

4 $/ C (
;=:

+ 5

# %1( 5?

? ;=:

?
8 V
8 9
7F"

5?

#$ %!
-./

01%

&

'( ) * +,

0CAPM/ -.
3&0

/1

' '
( -.

43 # -.
8#
/D

%1( / !

( ;Sharp:

%1( =4

7D<

"8

# $"

) +

" !;

"

/D

!
>

&1 A 1
:9
$

$-

" !

/)
K

F1"

"

/ !;

"

< 1 *

5/

F -

1(

,!* <

( O (Bhalla:2006:344!Bodie:2007;211:
4

%1( ;

/ 4+

? =4

/ 4+

< )

C ( %1( F

( >!

# !>

! ? ?# : 81 +

+ !

3 #

+ &

+
:

8#

)1

>4

/ ? (McMenamin;1999:212

;CAPM: =4
!

# R

!>

F #

%1(

# R +

/ ! 1"
<

+
Q

;Bodie:2007; 163: 1
!B

$
1

( ( C
!

2A 4

+
B

K !

$" %1(

NM; B
& !

! * C8

U8

"

+:

<

"

! +

!9 #

>! 5
*

<

'

"

+" "
"

%1(

&

NM ; - + :

+ > ! <

"

"

65

1(

8 " =4

%
4

1?

C <

"2
8&

<

$
> C (

%1(
+

4
$(

# !
4+ )

+1

!
Q

+
? %1(

&

2 =4

%?

9 1
(

+ !

+1 F -

1
R-

?/
NM

"

N9

(7 /

+ ! 6D ' *

2R +
)

1( F
=4

7<

:B

NW
C ( NW

C (%
2>

@A . 9 B C< D

19 ?

, %2 >'

780( 9 : ; < 82 .) = >, %2 >'

4%) 56!

19 ?
>

9:
E

0CAPM / -.
#

%1( ;CAPM :

<

=4

?
NM

E ( r ) = R f + i ( ERm R f )

1
M

E (r ) :

<
+

Rf :

i :

;B

:$

C (:B

C
C

< 1

ERm :
;

9 1
$

8# %1( 5/

$ 1/ $ -8

"

H4

C
$" ( * - + *4

23# U
) 1( $ - # 5/
1( F
<

>4

*
$ ?
$ "
B

C *

"

%1(

! "4
*

+
6
(

<(

K2$<

* -/ B

%1(

$ <

"#

<1 ! ;Bodie:2007;145)
!B

H4 %1( #
8# 2 B

( C(

+ %# !

"
C (

#" :

<

! 6D Q *
*

H4

* C 8 E 8+ 9

8# %1( C
? >

"
*

M; ERm : : B
A4 ! )

!
)

H4 "

7 <A

+1

B
$ "

!*

2
B

" )

$@

+
+

+ %
8+

$D+

!;

7 < $<% *

2=4

0 * C8

<

"#

# D!

@ %1( 7

8+

"

* (

"

9 1

# )
-

=4

NM ; R f : :

6D Q

<

* -/
2R +

"#

"

E 8+

22 ; )

>2 R +

"&

1( * C 8 $

NM ; E ( r ) : :

>4
*

* C8 $

+
C(

/5 9

$" -#

" !* #

8#

"

E 8

;Brigham & Davis:2004:51 : /

.

/ =4

O*

"

<O E

@ A4

%1(

8#

&

G B

H4

<

(E

&

5/

? ;Operationally:

;McMenamin;1999:215)
2B

8# )

; ERm R f :M *
+

B 8

!*

: *

"

#B

$"

A4 %

! 1"

(E

;Bodie:2007M

2; R f : *

( McMenamin;1999:

*0 " O

=4

: O

$ 8

;Risk premium *
( C

; i :/
3#

* D(
C (

/ 1

)1

)1

"

A4!
(E

C <

)1 # $ ?
+

* D (:
#

81

+
$

$ =4

5#

"
6

:
$

#
<

*# *

( ;Y: 5
$
/D

>

, #- 6"
>&

$?

&
@

<
5
@

4 *
/D

;
*# *#

4 5

M>

:2 ;X: $?
"4

# H4

@
'

*#

" 4

$?
8

? :5
( -.

$?

1( 9

+$ $

@ 1 ;COV: A

<

? :*
2

CAPM

&

$ A4

"

?
Q

9(

3#

C -#Q ;
>

B1

H < %1( $ $

8%

< = 8&

H
@

" 4
E 8+
; *

'

) < %1( ;CAPM :=4

"

&

<

8#
B

"

( ; "

<

8#

R + *

%1( F

C (

K*

+:

7 / $D+

A4

" *

* D(: 1( B1

>4

*
+

>4 6
K

&

H4 U

$ "
0

C/

O ;Bodie:2007M

*7 8"

&

0 5

H +

)1

)
R

6"

( $"

>4

;Risk premium
)(

F#<

<

A4

A1 )1 #

# %
F#- H4

%1

2HD(

" *

% ) ( $ # $D+
+

A 4 %1( 7

-+

? %1( 7
4 *

QE @ 2

#
!

A1 $ #

+
C

%1( $

2 +
X?

! ;Brigham & Davis:2004:48) OB

+:

;B

<

3#

-+

&

<1 !

< 4

"

"

* < ( <
>(

' '

>(
=4

41

%1( :

C (

/D

<
+
* 8

?
1

@ 1

%1( ;B

&:B

+ ) = + >4
/D

=4

>4

C ( ;>

$ 1# $
?

; : $"

+ $"
(

"2

"0

>4
$#

#1

!"

Characteristic line

= Rf
L /

%' %) .%H I J /K

) -+

A4 %

"

)1

2, #- 6"

" 1" !

>4

+ 4 $

1 ; %1( 91? : %1( *

+ %

!!

%
)

# 9 1

< 1

Brigham & ;

NM Y
COV i.m
i =
Var m
i
i =
m
R
(

& *

:B

8# A 4" !

( A 4 !;Davis:2004:53)

R + ?

4+0 ;Brigham & Davis:2004:48) R + @ - A

NM

i =

9 #

>(

$D+

Y @- B

i
) i.m
m

;W: B

C (

A 4"
C (

M
C

i :

m :

mB
B

i.m :
%1( #

C (

"

>

F #

>

F #

C (

22

; i.m : :

$+

@ - H4

2*
<
4

%1(
!

E@ >

# %1( R +

7? 5 :

<6 5

(
4 $

(
"

A4

2 8#

+1 6 ?"
$

" 4

> & A4

8#

i
:
m

%1(

; <

?
R

A4 ! ; :
2$/

"

"

A4

R %!P M H,$( ; A ; QC-

"
>

"

"
H M .N, E.

" )
>

?
C( 5

8#

C(

A >' ; <$I K O
! 4%) M H,$( ;
S8 '
780(
: 4%)

E 8+

A4

<

NM )
H4

!, #B

; :

A #

" *
<

? % >&

"B

; :

4
)

(8

"

; : @

H C (

22 B

"

! (8

8+ B

B
1 1/

"

!; :

0 B

58

$/

4 B

$/

2 E8+

$/0 E8+

" H4 ! ; :
4

"

"
+

"
! B

! ;bull market:

E 8+

" <

B
B

+ $

>
C(

"2 C

E8+ 4Q ! H ? 58
:

:)

U8
"

$&

$/

"

8 $ ?

NM

*
#

8+

"

"

(B

%1( C (

;bear market:B

E 8+

2B
<

@ < (= 26

9 < (=

(
A$

>4

" )

=4

ERP = R f + [

H7 8"

8# 1 5/

( McMenamin;1999:

ERm R f

:Capital market line (CML) 6

] p

*
C

+
$

<

< (= N
/D

/D

(Brigham & Davis:2004:86)

NM

@-

8#

%1( 9 1

" ;CAPM:

5
M

ER P :

8#

P :

m :

! C

%1( C 1 >

8# %1( C

1 >

$
F #
F #

; : $"

"

! V !2
@5 .

*I$ L 0 TU
V

rm

Rf

*I$ L 0 TU

L$ (

! 4%) 56!
V

M :
rm W

) 1(

1" *
"

$"

L /

! + %1( 5? ; M : B

1 # F/

" ;M :

L / > 2
> 2 QC: ! !2

" 1" *

+ %1(
+ $/

8#
8#

" ; Rf :
2 "

5/

" 2*7 8"

9 1

8#
C

" ! *7 8"

=4

> =4

*
NM

"

/D

!*

/D

* 8

68 B

/
*

#1 C

/ 1 /D

2;

8#

7 < " !E @ 4
? A4 ! 5

" =4
" !*

" !*

H4 $
%

*4 $

%1( ;CAPM:

/;
1+ A 4 !

<

/ 1

9 1

+ :

6?
C
M

;i

@ < (=

ERi = R f + { i ( Rm R f ) }

ERi :

# ;CML: +

8 * 8
(

%1(

<

5/

Security market line( SML) :

!!

$"

Rf :

i :
C (:B

< 1

ERm : ;B

8# %1( 5/

* D(

( ERm R f ) :
-+

+
?

(
#

"

68

>

> A4 ,
8#

/D

8#

H4

%1
$

/
$

!$

7
B

8# : $
<

*#

BD K'

8#

8#

5/

<

B
"

"
( -

1 BDK'

"

>(

=4

"

"

7 8"

! B

"

4+ !

68 %1( 5?

A4 ! + 4 5
?1

4)

B
#

8# 5/

)(

6 ?

# %1( 5? !

0 "
C (

< ( 8&

!
B

( 7 8"

$ 1#

) ! ;CAPM : =4
+

*#

C <

( ? $"
"

+ $

;%1

% # 6

I+1
*

8#

6?

" B

!B

8#
8

5/

C (5

NM 1
+ % 1(

; : $"

E @

F 6+

B 8 4+ 6

( (
@1

D
/

*#

%1( HD( B 1
1

($

"B

& Z [( ;

; R f :H

@ 22

( / !

+ C( $

= +

1(

" ; S: T1 >4

@ - B ; spssV

<

" B

:*

C -#

; : / $ <
" 91K
;

%1(

: % $) ? ;

%
:

* 8

% $-

E 8+ D B
() ? ;
;

: (

58

8#

/ !
& )<

C (

;Cbi bill: > "

" VC

B
:

* 81

"

; :

" ) 4 !; : / $"
;

: (

) ?

" A 4" !)
7

"

$"

VC

1 B

; #

# 7

Q E8+

* 8

E 8+
"

? ,1-

C(

) ? ;2 :
; #

"

> ! (

?
<

H4

5 < BDK'

, #- ; :

<

2;CML: $

( B1K % # U 8

< A4

8#

$/

4Q ! 8#
+ %1( B

8#

5?

300

100

100

200

0
53 49 45 41 37 33 29 25 21 17 13 9 5 1
b A2A2
B
)
T

N M; (

D$

XYZZ[ W, )8 ? 'A +

; : /

; R f :*

"#*0 )*

F.# B

%1(

$ <

VC
C

; (

< +4 ; : /

$/

$ 1#
; ERm R f :H

* D (

( ! ; Rf : *

C(

9 1

?
8
C(

"

A4 !
C

$/

<

" ; Rm : B
; : /

3# 1
6

1
#

; S:
4

C (

< B

& !

C(
H4

"
8# 7
# ;0.7078:

8
"

0 /;

$/
8+

& %1( 7

" %1( C (

\] -^) _>\

;0.0498:

E 8+

1
A

% A4

> C(
8#

;CPAM: =4

8+

2> "
B 8 ;0.0434:

D$ > =

% 6 % 1 %,2 N H<
?
-YZZ`; : / $a <XX ,

( <
C (

%1(

0.008

0.106

C -#

&

0.829

@ F -

+
D

$?
9"

0.555

F -

@
1

( - $D
-0.576

E
F -

; ( 6 D$ > =

0.044

-0.026

0.338
#

3.103

11.777

7.823

0.337

0.231

21.397

0.569

2.458

1.762

3.432

2.797

0.580

0.481

4.6257

0.754

1.568

F #
>

0.092

0.179

0.146

0.030

0.025

0.241

0.039

0.082

0.0491

0.0482

0.0485

0.0496

0.0497

0.0475

0.0496

0.0492

C
5/

-0.154

0.100

0.158

-4.076

-3.087

-0.320

-0.184

C -#

&

8 8+

( -

"

( -

\ -

1 B

(B

41
/

01

%1(

-0.234
#

2.263

0.385

0.099

153

139.02

2.697

0.260

1.286

1.504

0.620

0.315

12.369

11.791

1.642

0.510

1.134

F #
>

0.078

0.032

0.016

0.644

0.614

0.086

0.027

0.059

0.0492

0.0497

0.0498

0.0434

0.0436

0.0491

0.0497 0.0494

C
5/
%1(

"

< (

E$

!G

4.46

Rm =(

"F

19.2

m H

"

"

D$ E

2.868

p 3)*
(

(
(

NM 1
91? 9

+ %1( >

3#

> -/

N
2 44

? 4 + E

1( 6

* <

;CAPM:
9 <

%1(

22B

C (

&

/D(

"

%1(

+ I+

N9
"

$
?

8#

%1(

?
&

? B
*

2=4

$/ $

"

>

C(

?8

<

!E 8+
7

?
% >&

$
A4 !

#
1

<

%1(

C (
K > -/

N3
6

<

# $D+
-

5<

% >&

]
2

>

F
2) (

2 8#

H4 $

94<

B ?# %1( $
1

>&

4
2E 8+

<

A4
1

H4
/D

"
4

?8-

<#Q %
1

6
B

$" - +
< R

+
%1( @

C (
2

0 )<
(

1 8"

94 4

8#
"

2;CAPM:=4
)

"

)/
UD

B
2)

$
1

1 0 <

E #&A F >

/ 1#& f

"

_+A"

f /, " d\ 7e N
Xc
B cghi e_L,
m T 3B I >
l 1
/f
! " >' f k+ 5 + eN Xj
Bcggne
3-Brigham F. Eugene & Daves" Intermediate financial Management"
8thEdition .Thomson-south western U.S.A,2004.
4-Bhalla-v.k" Fundamentals OF investment management"SChand &
company ltd New Delhi India , joon.
5-Bodie Zvi , Kane , alex and Marcus , Alan. J " Essentials of
investment " McGraw-Hill U.S.A 2007.
6- Brue . McConnell " Economics " McGraw-Hill U.S.A , 2002.
7-McMenamin , Jim" Financial Management an introduction
" Rutledge. London U.K , 1999
8-Weston .j Fred and Brigham f Eugene " management
Finance " Dryden press U.S.A ,1978.
-p+
)I+
I>#< .
*-www.ISX iq net
*-WWW cbi.

_7