Item Infomation
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Banholzer, N. | vi |
dc.contributor.other | Heiden, S. | vi |
dc.contributor.other | Schneller, D. | vi |
dc.date.accessioned | 2020-09-25T08:31:46Z | - |
dc.date.available | 2020-09-25T08:31:46Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | https://doi.org/10.1007/s40685-018-0062-6 | vi |
dc.identifier.uri | http://tailieuso.tlu.edu.vn/handle/DHTL/9464 | - |
dc.description.abstract | The information contained in investor sentiment has up to now hardly been used for portfolio optimization, although theoretical works demonstrate that it should not be neglected and it has already been shown to contain exploitable information on future returns and volatility. Employing the approach of Copula Opinion Pooling, we explore how sentiment information regarding international stock markets can be directly incorporated into the portfolio optimization procedure. We subsequently show that sentiment information can be exploited by a trading strategy that takes into account a medium-term reversal effect of sentiment on returns. This sentiment-based strategy outperforms several benchmark strategies in terms of different performance and downside risk measures. More importantly, the results remain robust to changes in the parameter specification. | vi |
dc.description.uri | https://doi.org/10.1007/s40685-018-0062-6 | vi |
dc.language | en_US | vi |
dc.publisher | Springer Nature | vi |
dc.relation.ispartofseries | Business Research, (2019), volume 12, pages 671–702 | vi |
dc.subject | Portfolio optimization | vi |
dc.subject | Behavioral finance | vi |
dc.subject | Investor sentiment | vi |
dc.title | Exploiting investor sentiment for portfolio optimization | vi |
dc.type | BB | vi |
Appears in Collections: | Tài liệu mở |
Files in This Item:
Bạn đọc là cán bộ, giáo viên, sinh viên của Trường Đại học Thuỷ Lợi cần đăng nhập để Xem trực tuyến/Tải về
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.