A portfolio construction model based on sector analysis using Dempster-Shafer evidence theory and Granger causal network: An application to National stock exchange of India

•A systematic approach for optimal portfolio construction based on sector analysis is presented.•The concepts of probability theory, econometrics, and deep learning are integrated.•Evidence theory and Granger causal network are unified to select strong and diverse economic sectors.•Deep recurrent neural network is used for optimal ratio allocation to portfolio securities.•The proposed model is designed for investment in National Stock exchange of India.