A Comparative Study of Portfolio Optimization Methods for the Indian
  Stock Market
Jaydip Sen Arup Dasgupta Partha Pratim Sengupta Sayantani Roy Choudhury
This chapter presents a comparative study of the three portfolio optimization
methods, MVP, HRP, and HERC, on the Indian stock market, particularly focusing
on the stocks chosen from 15 sectors listed on the National Stock Exchange of
India. The top stocks of each cluster are identified based on their free-float
market capitalization from the report of the NSE published on July 1, 2022 (NSE
Website). For each sector, three portfolios are designed on stock prices from
July 1, 2019, to June 30, 2022, following three portfolio optimization
approaches. The portfolios are tested over the period from July 1, 2022, to
June 30, 2023. For the evaluation of the performances of the portfolios, three
metrics are used. These three metrics are cumulative returns, annual
volatilities, and Sharpe ratios. For each sector, the portfolios that yield the
highest cumulative return, the lowest volatility, and the maximum Sharpe Ratio
over the training and the test periods are identified.