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.

本研究在印度股市上对三种投资组合优化方法（最小方差组合、分层风险平衡组合、最优风险调整组合）进行了比较研究，以印度国家股票交易所上15个行业的股票为重点。对每个行业，根据2022年7月1日NSE（国家股票交易所）发布的报告，选择每个集群的前股票，并使用三种投资组合优化方法进行设计。该研究使用累计回报率、年度波动率和夏普比率三个指标来评估投资组合的绩效，识别出在训练和测试期间实现最高累计回报率、最低波动率和最大夏普比率的投资组合。

印度股市投资组合优化方法的比较研究