The choice of optimal set of securities in the basket requires an in-depth study of the existing vast literature on portfolio selection models developed over a period of time. The research work is an effort to revisit the existing portfolio selection models for searching undervalued securities and creating efficient portfolios. A plethora of factors relating to the behavioural aspects of the investor and the environment that he is functioning in affect his portfolio selection decision. It is important to accommodate for multiple objectives of today's investor while selecting his optimal portfolio. Researchers have come a long way on the path of Portfolio selection starting from Roy's safety principle, Markowitz's efficient frontier, Tobin, Lintner, Sharpe's CAPM, Fama French three factor model to the recent day work by Pandey and Chee (2002), Panageas and Westerfield (2009) and others using programming techniques, algorithms, mathematical formulae, matrices and latest software. With the ever improving ability to collect large data sets, stream information in real time and create large complex computations the techniques of portfolio selection are improving continuously. A better understanding of the markets and evolving economic models provide the base to add further to the Modern Portfolio Theory. The purpose of the study is to undertake a comparative analysis of the existing Portfolio Selection Models.
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