An integrated framework for classification and selection of stocks for portfolio construction: Evidence from NSE, India

Sayan Gupta; Gautam Bandyopadhyay; Sanjib  Biswas; Arup Mitra

doi:10.31181/dmame0318062021g

Authors

Sayan Gupta Department of Management Studies, NIT, Durgapur, India https://orcid.org/0000-0002-5249-3703
Gautam Bandyopadhyay Department of Management Studies, NIT, Durgapur, India https://orcid.org/0009-0001-0500-0283
Sanjib Biswas Department of Management Studies, NIT, Durgapur, India https://orcid.org/0000-0002-9243-2403
Arup Mitra Department of Management Studies, MAKAUT, Haringhata, India https://orcid.org/0000-0002-7824-3892

DOI:

https://doi.org/10.31181/dmame0318062021g

Keywords:

Efficient stock portfolios (ESP), DP omnibus test, TOPSIS, Bayes Model

Abstract

Investment extortion in the stock market is a crucial aspect considered by the investors. Therefore, investors implemented different strategies. This study was intended at constructing an investment portfolio (IP) of stocks within the NSE 100 listed companies of Non-parametric nature, fulfilling the basic premise of portfolio making that is, reducing risks while yielding an attractive return higher than any other instrument for the investors. Using DP omnibus test, the desired sample of companies following the non-normal distribution was achieved. Using financial beta, we have selected the outcome based on the nature of their ‘return’ and ‘risk'. We introduce TOPSIS (Technique for order of performance by similarity to ideal solution), a multi-criteria decision-making process (MCDM) to study the profitability of stocks, rank wise for each year, and finally, the Bayes portfolio model help to select the overall profitability associate with low risk for the construction of the portfolio.

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Author Biography

Gautam Bandyopadhyay, Department of Management Studies, NIT, Durgapur, India

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