  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.
