# Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model

arXiv: https://arxiv.org/abs/2202.02723 · HTML: https://mlsanity.com/paper/2202.02723/

## Key facts

- Cited by 5 papers in the map (data through 14 Oct 2026).
- Builds on 4 of its 13 references that are in the map.
- First posted on arXiv 6 Feb 2022.

## Builds on (most cited first, 4 of 4)

- [Applications of deep learning in stock market prediction: recent progress](https://mlsanity.com/paper/2003.01859/) (2020)
- [A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing](https://mlsanity.com/paper/1912.07700/) (2019)
- [Accurate Stock Price Forecasting Using Robust and Optimized Deep Learning Models](https://mlsanity.com/paper/2103.15096/) (2021)
- [Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market](https://mlsanity.com/paper/2107.11371/) (2021)

## Built on by (most cited first, 5 of 5)

- [A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks](https://mlsanity.com/paper/2210.00984/) (2022)
- [A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Market](https://mlsanity.com/paper/2305.17523/) (2023)
- [Portfolio Optimization: A Comparative Study](https://mlsanity.com/paper/2307.05048/) (2023)
- [Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on Indian Stocks](https://mlsanity.com/paper/2309.13696/) (2023)
- [Exploring Sectoral Profitability in the Indian Stock Market Using Deep Learning](https://mlsanity.com/paper/2407.01572/) (2024)

## Abstract (arXiv)

Portfolio optimization has been a broad and intense area of interest for quantitative and statistical finance researchers and financial analysts. It is a challenging task to design a portfolio of stocks to arrive at the optimized values of the return and risk. This paper presents an algorithmic approach for designing optimum risk and eigen portfolios for five thematic sectors of the NSE of India. The prices of the stocks are extracted from the web from Jan 1, 2016, to Dec 31, 2020. Optimum risk and eigen portfolios for each sector are designed based on ten critical stocks from the sector. An LSTM model is designed for predicting future stock prices. Seven months after the portfolios were formed, on Aug 3, 2021, the actual returns of the portfolios are compared with the LSTM-predicted returns. The predicted and the actual returns indicate a very high-level accuracy of the LSTM model.