Portfolio Selection using DEA-COPRAS at Risk – Return Interface Based on NSE (India)
S. Gupta1, G. Bandyopadhyay2, M. Bhattacharjee3, S. Biswas4
1Sayan Gupta, Management Studies, National Institute of Technology, Durgapur, India.
2Gautam Bandyopadhyay, Management Studies, National Institute of Technology, Durgapur, India.
3Malay Bhattacharjee, Management Studies, National Institute of Technology, Durgapur, India.
4Sanjib Biswas, Management Studies, Calcutta Business School, Kolkata, India.
Manuscript received on 19 August 2019 | Revised Manuscript received on 24 August 2019 | Manuscript published on 30 August 2019 | PP: 4078-4087 | Volume-8 Issue-10, August 2019 | Retrieval Number: J88580881019/2019©BEIESP | DOI: 10.35940/ijitee.J8858.0881019
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: Portfolio formation holds paramount importance in the process of the investment decision making since, a single door investment (SDI) option is much riskier than a multiple door investment (MDI) option. Among available financial instruments, the stock market (SM) has allured investors because of its liquidity and growth opportunities. However, the effectiveness of the investment decision is largely reflected in the selection of the constituent elements of the portfolio by an investor while trading off risk and return. In this paper, after an initial level selection of for formulating a possible portfolio by using Perceptual Map (PM), we have applied DEA to calculate the efficiency of the stocks at the risk-return interface based on the market performance. In order to ascertain that the stock selection is logical and worthwhile, we further probe the fundamental performances over a time period of five consecutive financial years using the method of Multi-Criteria Decision Analysis (MCDA) framework based on the Complex Proportional Assessment (COPRAS) method, where, the criteria weights are calculated by using the entropy method. A consistency is visible in the yearly fundamental performances and a significant pattern with regard to the portfolio selection.
Keywords: Portfolio Selection, Stock Market, Perceptual Mapping, Data Envelopment Analysis (DEA), Complex Proportional Assessment (COPRAS).
Scope of the Article: Interface Agents