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Performance Evaluation of Equal-Weight Portfolio and Optimum Risk Portfolio on Indian Stocks

arXiv 2309.13696 ↗First posted 24 Sep 2023q-fin.PM cs.LGcited by 0

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Abstract (arXiv)

Designing an optimum portfolio for allocating suitable weights to its constituent assets so that the return and risk associated with the portfolio are optimized is a computationally hard problem. The seminal work of Markowitz that attempted to solve the problem by estimating the future returns of the stocks is found to perform sub-optimally on real-world stock market data. This is because the estimation task becomes extremely challenging due to the stochastic and volatile nature of stock prices. This work illustrates three approaches to portfolio design minimizing the risk, optimizing the risk, and assigning equal weights to the stocks of a portfolio. Thirteen critical sectors listed on the National Stock Exchange (NSE) of India are first chosen. Three portfolios are designed following the above approaches choosing the top ten stocks from each sector based on their free-float market capitalization. The portfolios are designed using the historical prices of the stocks from Jan 1, 2017, to Dec 31, 2022. The portfolios are evaluated on the stock price data from Jan 1, 2022, to Dec 31, 2022. The performances of the portfolios are compared, and the portfolio yielding the higher return for each sector is identified.

Key facts. No citing papers in the map yet (data through 14 Oct 2026). Builds on 20 of its 69 references that are in the map. First posted on arXiv 24 Sep 2023.

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20 of 69 references.

References · 20

  1. 2017Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysiscited by 46
  2. 2019A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processingcited by 23
  3. 2020Stock Price Prediction Using CNN and LSTM-Based Deep Learning Modelscited by 21
  4. 2020A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Modelscited by 18
  5. 2020A Novel Ensemble Deep Learning Model for Stock Prediction Based on Stock Prices and Newscited by 16
  6. 2021Accurate Stock Price Forecasting Using Robust and Optimized Deep Learning Modelscited by 15
  7. 2020Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseriescited by 13
  8. 2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCHcited by 12
  9. 2021Profitability Analysis in Stock Investment Using an LSTM-Based Deep Learning Modelcited by 11
  10. 2021Stock Portfolio Optimization Using a Deep Learning LSTM Modelcited by 9
  11. 2021Design and Analysis of Robust Deep Learning Models for Stock Price Predictioncited by 6
  12. 2022Robust Portfolio Design and Stock Price Prediction Using an Optimized LSTM Modelcited by 6
8 more
  1. 2021Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Modelscited by 5
  2. 2022Portfolio Optimization on NIFTY Thematic Sector Stocks Using an LSTM Modelcited by 5
  3. 2022Hierarchical Risk Parity and Minimum Variance Portfolio Design on NIFTY 50 Stockscited by 4
  4. 2022Precise Stock Price Prediction for Optimized Portfolio Design Using an LSTM Modelcited by 4
  5. 2022Designing Efficient Pair-Trading Strategies Using Cointegration for the Indian Stock Marketcited by 4
  6. 2021Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Modelcited by 3
  7. 2022A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stockscited by 3
  8. 2019Selecting stock pairs for pairs trading while incorporating lead-lag relationshipcited by 1

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