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A novel LASSO – TLBO – SVR hybrid model for an efficient portfolio construction

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  • Mishra, Sasmita
  • Padhy, Sudarsan
  • Mishra, Satya Narayan
  • Misra, Satya Narayan

Abstract

In this study a LASSO – TLBO – SVR hybrid model is used for portfolio construction. Relevant economic parameters are determined and used for stock selection. Along with stock selection, weights for the stocks are obtained by solving a portfolio optimization problem using three methods: GRG Nonlinear, Evolutionary method based on Genetic Algorithm, and Equal weight method. The portfolio return in the proposed model is compared with the return of the Indian market portfolio (NSE and BSE). It is observed that the proposed model outperforms the market portfolio.

Suggested Citation

  • Mishra, Sasmita & Padhy, Sudarsan & Mishra, Satya Narayan & Misra, Satya Narayan, 2021. "A novel LASSO – TLBO – SVR hybrid model for an efficient portfolio construction," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    • Handle: RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302333
    DOI: 10.1016/j.najef.2020.101350
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    References listed on IDEAS

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