# Robust Portfolio Design and Stock Price Prediction Using an Optimized LSTM Model

arXiv: https://arxiv.org/abs/2204.01850 · HTML: https://mlsanity.com/paper/2204.01850/

## Key facts

- Cited by 6 papers in the map (data through 14 Oct 2026).
- Builds on 5 of its 15 references that are in the map.
- First posted on arXiv 2 Mar 2022.

## Builds on (most cited first, 5 of 5)

- [A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing](https://mlsanity.com/paper/1912.07700/) (2019)
- [A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models](https://mlsanity.com/paper/2004.11697/) (2020)
- [Accurate Stock Price Forecasting Using Robust and Optimized Deep Learning Models](https://mlsanity.com/paper/2103.15096/) (2021)
- [Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH](https://mlsanity.com/paper/2105.13898/) (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, 6 of 6)

- [Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Market](https://mlsanity.com/paper/2211.07080/) (2022)
- [Effects of Daily News Sentiment on Stock Price Forecasting](https://mlsanity.com/paper/2308.08549/) (2023)
- [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)

Accurate prediction of future prices of stocks is a difficult task to perform. Even more challenging is to design an optimized portfolio with weights allocated to the stocks in a way that optimizes its return and the risk. This paper presents a systematic approach towards building two types of portfolios, optimum risk, and eigen, for four critical economic sectors of India. The prices of the stocks are extracted from the web from Jan 1, 2016, to Dec 31, 2020. Sector-wise portfolios are built based on their ten most significant stocks. An LSTM model is also designed for predicting future stock prices. Six months after the construction of the portfolios, i.e., on Jul 1, 2021, the actual returns and the LSTM-predicted returns for the portfolios are computed. A comparison of the predicted and the actual returns indicate a high accuracy level of the LSTM model.