FORECASTING PORTFOLIO RETURN USING OPTIMIZATION TECHNIQUES FROM THE PERSPECTIVE OF INDIAN FINANCIAL MARKET

The sensitivity of the stock indices fluctuates according to business cycles or economic fluctuations. This creates a trade-off between risk and return in the minds of investors. They want to achieve maximum return at a minimal risk. This mode of optimisation requires portfolio diversification . As a matter of fact, selection of portfolio is based on the computation of the measures of central tendency and dispersion, namely mean and variance. More over the third and fourth order moments of the data set on indices need to be optimised so as to maximize skewness. In portfolio selection high return and minimal risk is the common objective of every investor.The share market return depends on various factors which are qualititative and quantitative in nature. Several researchers employ different fuzzy decision-making techniques to manage portfolios.