应用新闻情感优化资产配置策略

IF 0.6 Q4 BUSINESS, FINANCE

Journal of Investing Pub Date : 2021-09-29 DOI:10.3905/joi.2021.1.203

P. Rohner, Matthias W. Uhl

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引用次数: 0

摘要

在这篇文章中，作者表明，通过基于新闻情绪的行为方法，可以增强传统的Black和Litterman战略资产配置（SAA）模型。在10年的样本外回溯测试中，基于新闻情绪的SAA每年比基准SAA高0.5%，风险较小，夏普比率高出20%。新闻情绪数据在统计上也与价格动量指标不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Applying News Sentiment for Optimizing Strategic Asset Allocations

In this article, the authors show that it is possible to enhance traditional Black and Litterman strategic asset allocation (SAA) models with a behavioral approach based on news sentiment. In an out-of-sample backtest over 10 years, the news sentiment–based SAA outperforms the benchmark SAA by 0.5% a year with less risk and a 20% higher Sharpe ratio. The news sentiment data are also statistically different from price momentum measures.

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来源期刊

Journal of Investing BUSINESS, FINANCE-

CiteScore

1.10

自引率

16.70%

发文量