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

Author

Listed:
  • Jaydip Sen
  • Ashwin Kumar R S
  • Geetha Joseph
  • Kaushik Muthukrishnan
  • Koushik Tulasi
  • Praveen Varukolu

Abstract

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.

Suggested Citation

  • Jaydip Sen & Ashwin Kumar R S & Geetha Joseph & Kaushik Muthukrishnan & Koushik Tulasi & Praveen Varukolu, 2022. "Precise Stock Price Prediction for Robust Portfolio Design from Selected Sectors of the Indian Stock Market," Papers 2201.05570, arXiv.org.
    • Handle: RePEc:arx:papers:2201.05570
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    References listed on IDEAS

    as
    1. Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2021. "Stock Price Prediction Using Time Series, Econometric, Machine Learning, and Deep Learning Models," Papers 2111.01137, arXiv.org.
    2. Jaydip Sen, 2018. "Stock composition of mutual funds and fund style: a time series decomposition approach towards testing for consistency," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 4(3), pages 235-292.
    3. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Stock Portfolio Optimization Using a Deep Learning LSTM Model," Papers 2111.04709, arXiv.org.
    4. Jaydip SEN & Tamal DATTA CHAUDHURI, 2017. "A Predictive Analysis of the Indian FMCG Sector using Time Series Decomposition - Based Approach," Journal of Economics Library, KSP Journals, vol. 4(2), pages 206-226, June.
    5. Jaydip Sen & Tamal Datta Chaudhuri, 2018. "Understanding the sectors of Indian economy for portfolio choice," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 4(2), pages 178-222.
    6. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using CNN and LSTM-Based Deep Learning Models," Papers 2010.13891, arXiv.org.
    7. Sidra Mehtab & Jaydip Sen, 2019. "A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing," Papers 1912.07700, arXiv.org.
    8. Sidra Mehtab & Jaydip Sen, 2020. "A Time Series Analysis-Based Stock Price Prediction Using Machine Learning and Deep Learning Models," Papers 2004.11697, arXiv.org, revised May 2021.
    9. Jaydip Sen & Rajdeep Sen & Abhishek Dutta, 2021. "Machine Learning in Finance-Emerging Trends and Challenges," Papers 2110.11999, arXiv.org.
    10. Jaydip Sen & Abhishek Dutta, 2022. "A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks," Papers 2210.00984, arXiv.org.
    11. Jaydip Sen & Abhishek Dutta & Sidra Mehtab, 2021. "Profitability Analysis in Stock Investment Using an LSTM-Based Deep Learning Model," Papers 2104.06259, arXiv.org.
    12. Jaydip Sen & Sidra Mehtab, 2021. "Design and Analysis of Robust Deep Learning Models for Stock Price Prediction," Papers 2106.09664, arXiv.org.
    13. Jaydip Sen & Tamal Datta Chaudhuri, 2017. "A Time Series Analysis-Based Forecasting Framework for the Indian Healthcare Sector," Papers 1705.01144, arXiv.org.
    14. Jaydip Sen & Sidra Mehtab & Abhishek Dutta, 2021. "Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH," Papers 2105.13898, arXiv.org.
    15. Sidra Mehtab & Jaydip Sen, 2020. "Stock Price Prediction Using Convolutional Neural Networks on a Multivariate Timeseries," Papers 2001.09769, arXiv.org.
    16. Jaydip Sen & Sidra Mehtab, 2021. "Accurate Stock Price Forecasting Using Robust and Optimized Deep Learning Models," Papers 2103.15096, arXiv.org.
    17. Jaydip Sen & Saikat Mondal & Sidra Mehtab, 2021. "Analysis of Sectoral Profitability of the Indian Stock Market Using an LSTM Regression Model," Papers 2111.04976, arXiv.org.
    18. Sidra Mehtab & Jaydip Sen & Abhishek Dutta, 2020. "Stock Price Prediction Using Machine Learning and LSTM-Based Deep Learning Models," Papers 2009.10819, arXiv.org.
    Full references (including those not matched with items on IDEAS)

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