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

arXiv: https://arxiv.org/abs/2210.00984 · HTML: https://mlsanity.com/paper/2210.00984/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- Builds on 8 of its 19 references that are in the map.
- First posted on arXiv 3 Oct 2022.

## Builds on (most cited first, 8 of 8)

- [A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing](https://mlsanity.com/paper/1912.07700/) (2019)
- [Stock Price Prediction Using CNN and LSTM-Based Deep Learning Models](https://mlsanity.com/paper/2010.13891/) (2020)
- [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)
- [Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries](https://mlsanity.com/paper/2001.09769/) (2020)
- [Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH](https://mlsanity.com/paper/2105.13898/) (2021)
- [Stock Portfolio Optimization Using a Deep Learning LSTM Model](https://mlsanity.com/paper/2111.04709/) (2021)
- [Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Model](https://mlsanity.com/paper/2202.02723/) (2022)

## Built on by (most cited first, 3 of 3)

- [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)

## 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.