Frontier economies present investors with substantial challenges stemming from heightened macroeconomic instability, limited financial transparency, currency volatility, and fragmented regulatory systems. These conditions complicate traditional risk assessment approaches that are typically calibrated to stable and mature markets. This study develops an evidence-based risk assessment framework designed specifically for investors operating in frontier economies, integrating firm-level financial indicators with broader macroeconomic risk factors to support more accurate and context-sensitive decision-making. Using a panel dataset derived from non-financial firms in a high-volatility frontier market, the study evaluates how profitability, leverage, free cash flow, liquidity, firm size, inflation exposure, and regulatory uncertainty influence investment risk and expected returns. The results demonstrate that conventional risk models systematically underestimate the role of liquidity constraints and overestimate the stabilizing effects of firm size in volatile environments. The proposed framework combines predictive modeling techniques with practical financial ratios to create an adaptable tool that investors, analysts, and development finance institutions can use to evaluate firm resilience and market suitability under frontier conditions. By providing a decision-making instrument tailored to the realities of high-risk economies, this research fills a critical gap in global finance literature and offers actionable insights for portfolio management, credit assessment, and foreign direct investment strategies. Moreover, the framework is designed for cross-market application, enabling investors to assess risk more effectively across regions such as sub-Saharan Africa, South Asia, and Latin America. This work therefore contributes both theoretically and practically to advancing investment intelligence in some of the world's most rapidly evolving yet uncertain financial landscapes.