MODELING THE PORTFOLIO SELECTION PROBLEM WITH SPECIAL REFERENCE TO SELECTED INDUSTRIES IN BSE

In the finance field, it is a common knowledge that money or finance is scarce and that investors try to maximize their returns. But when the return is higher, the risk is also higher Return and risk go together and they have a tradeoff. The art of investment is to see that return is maximized with minimum risk. Combination of securities with different risk-return characteristics will constitute the portfolio of the investor. The data in this study consists of the monthly log return of top companies of selected major Industries in BSE from January 2008 to March 2013. The analysis was conducted at different stages, and they are Sharpe and Omega ratios and optimal portfolio weights.