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Home > Archives > Volume 20, No 11 (2022) > Article

DOI: 10.14704/nq.2022.20.11.NQ66201

SELECTION OF EFFICIENT EQUITY MUTUAL FUNDS PORTFOLIO IN INDIAN MARKET USING OPTIMIZATION TECHNIQUES.

Soumya Banerjee , Sayan Gupta, Amlan Ghosh, Gautam Bandyopadhyay

Abstract

This study aims to determine the efficient Indian equity mutual funds portfolio by allocating the weights dynamically ensuring minimum risk. All the equity mutual funds with inception before January 2015 are considered and their monthly returns are calculated. The funds with positive average return and negative skewness are taken into consideration. Since the performance of a mutual fund is compared with respect to the market, the portfolio is, then, constructed by taking the funds with low standard deviation and high beta value using the investor's perception map. BSE 100 is taken as the market benchmark and their monthly returns for the same period are calculated. Appropriate weightage has been allocated among the funds belonging to the portfolio using the Generalized Reduced Gradient method ensuring minimum risk. Based on market return parameters the efficiency scores of the selected funds are calculated using Data Envelopment Analysis to verify whether the funds constituting the portfolio are efficient. This study will help the investors to choose mutual funds wisely as well as instruct them on how to distribute a proper investment weighting, which will aid them in making future investment decisions.

Keywords

Equity Mutual Funds,Portfolio,Return, Skewness, Generalized Reduced GradientMethod, Data Envelopment Analysis

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