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。

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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