Portfolio Optimization Using Data Envelopment Analysis & Sharpe's Method

Due to the advancement of Information Technology it has been easier for investors to invest valuable money in portfolios. There has been availability of tools & data all the time to predict the market in decision-making, for which some models have been developed. With the rigorous research in this attractive topic some mathematical models have been developed & some models from other industries have been considered. Models like Sharpe, Genetic Algorithm, and Monte-Carlo are very helpful in investment decision making. DEA model, originated from production industry, helps in selecting securities for portfolio. In this paper we have exquisitely tried to find out the best method for selection of efficient securities using historical data of BSE-30 industries & compared DEA, Sharpe's model with Market, which gives some exciting results for future investment