mlsanityData to 7 Oct 2026

A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks

arXiv 2210.00984 ↗First posted 3 Oct 2022q-fin.PM cs.LGcited by 3

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Abstract (arXiv)

Portfolio optimization has been an area of research that has attracted a lot of attention from researchers and financial analysts. Designing an optimum portfolio is a complex task since it not only involves accurate forecasting of future stock returns and risks but also needs to optimize them. This paper presents a systematic approach to portfolio optimization using two approaches, the hierarchical risk parity algorithm and the Eigen portfolio on seven sectors of the Indian stock market. The portfolios are built following the two approaches to historical stock prices from Jan 1, 2016, to Dec 31, 2020. The portfolio performances are evaluated on the test data from Jan 1, 2021, to Nov 1, 2021. The backtesting results of the portfolios indicate that the performance of the HRP portfolio is superior to that of its Eigen counterpart on both training and test data for the majority of the sectors studied.

Key facts. Cited by 3 papers in the map (data through 7 Oct 2026). Builds on 8 of its 19 references that are in the map. First posted on arXiv 3 Oct 2022.

Builds on

8 of 19 references.

References · 8

  1. 2019A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processingcited by 23
  2. 2020Stock Price Prediction Using CNN and LSTM-Based Deep Learning Modelscited by 21
  3. 2020A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Modelscited by 18
  4. 2021Accurate Stock Price Forecasting Using Robust and Optimized Deep Learning Modelscited by 15
  5. 2020Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseriescited by 13
  6. 2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCHcited by 12
  7. 2021Stock Portfolio Optimization Using a Deep Learning LSTM Modelcited by 9
  8. 2022Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Modelcited by 5

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Citing papers per year: 2023: 3.

3 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