mlsanityData to 7 Oct 2026

Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stocks

arXiv 2202.02728 ↗First posted 6 Feb 2022q-fin.PM cs.LGcited by 4

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Abstract (arXiv)

Portfolio design and optimization have been always an area of research that has attracted a lot of attention from researchers from the finance domain. Designing an optimum portfolio is a complex task since it involves accurate forecasting of future stock returns and risks and making a suitable tradeoff between them. This paper proposes a systematic approach to designing portfolios using two algorithms, the critical line algorithm, and the hierarchical risk parity algorithm on eight sectors of the Indian stock market. While the portfolios are designed using the stock price data from Jan 1, 2016, to Dec 31, 2020, they are tested on the data from Jan 1, 2021, to Aug 26, 2021. The backtesting results of the portfolios indicate while the performance of the CLA algorithm is superior on the training data, the HRP algorithm has outperformed the CLA algorithm on the test data.

Key facts. Cited by 4 papers in the map (data through 7 Oct 2026). Builds on 5 of its 13 references that are in the map. First posted on arXiv 6 Feb 2022.

Builds on

5 of 13 references.

References · 5

  1. 2020Stock Price Prediction Using Machine Learning and LSTM-Based Deep Learning Modelscited by 24
  2. 2019A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processingcited by 23
  3. 2020Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseriescited by 13
  4. 2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCHcited by 12
  5. 2021Stock Portfolio Optimization Using a Deep Learning LSTM Modelcited by 9

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Cited by year

Citing papers per year: 2023: 3; 2024: 1.

4 papers.

  1. 2023A Comparative Analysis of Portfolio Optimization Using Mean-Variance, Hierarchical Risk Parity, and Reinforcement Learning Approaches on the Indian Stock Marketcited by 0
  2. 2023Portfolio Optimization: A Comparative Studycited by 0
  3. 2023Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on Indian Stockscited by 0
  4. 2024Exploring Sectoral Profitability in the Indian Stock Market Using Deep Learningcited by 0