Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market

by   Jaydip Sen, et al.

Stock price prediction is a challenging task and a lot of propositions exist in the literature in this area. Portfolio construction is a process of choosing a group of stocks and investing in them optimally to maximize the return while minimizing the risk. Since the time when Markowitz proposed the Modern Portfolio Theory, several advancements have happened in the area of building efficient portfolios. An investor can get the best benefit out of the stock market if the investor invests in an efficient portfolio and could take the buy or sell decision in advance, by estimating the future asset value of the portfolio with a high level of precision. In this project, we have built an efficient portfolio and to predict the future asset value by means of individual stock price prediction of the stocks in the portfolio. As part of building an efficient portfolio we have studied multiple portfolio optimization methods beginning with the Modern Portfolio theory. We have built the minimum variance portfolio and optimal risk portfolio for all the five chosen sectors by using past daily stock prices over the past five years as the training data, and have also conducted back testing to check the performance of the portfolio. A comparative study of minimum variance portfolio and optimal risk portfolio with equal weight portfolio is done by backtesting.



There are no comments yet.


page 1

page 2

page 3

page 4


Design and Analysis of Robust Deep Learning Models for Stock Price Prediction

Building predictive models for robust and accurate prediction of stock p...

Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market

Designing an optimum portfolio that allocates weights to its constituent...

A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models

Prediction of future movement of stock prices has always been a challeng...

Using MOEAs To Outperform Stock Benchmarks In The Presence of Typical Investment Constraints

Portfolio managers are typically constrained by turnover limits, minimum...

A Fast Evidential Approach for Stock Forecasting

In the framework of evidence theory, data fusion combines the confidence...

The Applications of Graph Theory to Investing

How can graph theory be applied to investing in the stock market? The an...
This week in AI

Get the week's most popular data science and artificial intelligence research sent straight to your inbox every Saturday.