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Intelligent Asset Allocation via Market Sentiment Views
16 references·13 citing·44 second hop
Intelligent Asset Allocation via Market Sentiment Views (2018)Intelligent Asset Allocation via Market S…Natural language based financial forecasting: a survey (2017)Natural language based financ…A five-factor asset pricing model (2014)A five-factor asset pricing m…Twitter mood predicts the stock market (2011)Twitter mood predicts the sto…Trading Strategies to Exploit Blog and News Sentiment (2010)Trading Strategies to Exploit…Portfolio Choice Problems (2010)Portfolio Choice ProblemsBayesian Portfolio Analysis (2010)Bayesian Portfolio AnalysisAnother look at measures of forecast accuracy (2006)Another look at measures of f…Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …The Intuition Behind Black-Litterman Model Portfolios (2002)The Intuition Behind Black-Li…Daily stock market forecast from textual web data (2002)Daily stock market forecast f…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…The M3-Competition: results, conclusions and implications (2000)The M3-Competition: results, …A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction (2000)A demystification of the Blac…Performance Measurement in a Downside Risk Framework (1994)Performance Measurement in a …Asset Allocation (1991)Asset AllocationPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Enhancing portfolio management using artificial intelligence: literature review (2024)Enhancing portfolio managemen…NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-Task Financial Forecasting (2022)NumHTML: Numeric-Oriented Hie…An integrated generalized TODIM model for portfolio selection based on financial performance of firms (2022)An integrated generalized TOD…Stock trading rule discovery with double deep Q-network (2021)Stock trading rule discovery …Market sentiment-aware deep reinforcement learning approach for stock portfolio allocation (2021)Market sentiment-aware deep r…A novel multi-source information-fusion predictive framework based on deep neural networks for accuracy enhancement in stock market prediction (2021)A novel multi-source informat…Predicting Stock Market Price Movement Using Sentiment Analysis: Evidence From Ghana (2020)Predicting Stock Market Price…CNN-based multivariate data analysis for bitcoin trend prediction (2020)CNN-based multivariate data a…An integrated model for textual social media data with spatio-temporal dimensions (2020)An integrated model for textu…An Efficient Word Embedding and Deep Learning Based Model to Forecast the Direction of Stock Exchange Market Using Twitter and Financial News Sites: A Case of Istanbul Stock Exchange (BIST 100) (2020)An Efficient Word Embedding a…Sentiment-aware volatility forecasting (2019)Sentiment-aware volatility fo…Stock Market Prediction Analysis by Incorporating Social and News Opinion and Sentiment (2018)Stock Market Prediction Analy…Public Mood–Driven Asset Allocation: the Importance of Financial Sentiment in Portfolio Management (2018)Public Mood–Driven Asset Allo…International Portfolio Choice and Corporation Finance: A Synthesis (1983)When Will Mean-Variance Efficient Portfolios be Well Diversified? 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Textual Analysis, Dictionaries, and 10‐Ks (2011)Conversational Memory Network for Emotion Recognition in Dyadic Dialogue Videos (2018)Technical analysis and sentiment embeddings for market trend prediction (2019)Stock market movement forecast: A Systematic review (2020)Expected stock returns and volatility (1987)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Media Coverage and the Cross‐section of Stock Returns (2009)The Econometrics of Financial Markets (2012)Textual Analysis in Accounting and Finance: A Survey (2016)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Do Shareholders Benefit from Green Bonds? (2018)Empirical Asset Pricing via Machine Learning (2020)Automatic Time Series Forecasting: The forecast Package for R (2008)Statistical and Machine Learning forecasting methods: Concerns and ways forward (2018)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)A Brief History of Downside Risk Measures (1999)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Portfolio selection with higher moments (2010)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2006Another look at measures of forecast accuracy5,736 cited
  • 2011Twitter mood predicts the stock market5,204 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,369 cited
  • 2000The M3-Competition: results, conclusions and implications1,700 cited
  • 1994Performance Measurement in a Downside Risk Framework899 cited
  • 1991Asset Allocation496 cited
  • 2017Natural language based financial forecasting: a survey399 cited
  • 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis382 cited
  • 2010Portfolio Choice Problems325 cited
  • 2002The Intuition Behind Black-Litterman Model Portfolios272 cited
  • 2010Trading Strategies to Exploit Blog and News Sentiment253 cited
  • 2000A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction205 cited
  • 2010Bayesian Portfolio Analysis178 cited
  • 2002Daily stock market forecast from textual web data

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163 cited

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  • 2019Sentiment-aware volatility forecasting81 cited
  • 2020Predicting Stock Market Price Movement Using Sentiment Analysis: Evidence From Ghana78 cited
  • 2018Stock Market Prediction Analysis by Incorporating Social and News Opinion and Sentiment55 cited
  • 2024Enhancing portfolio management using artificial intelligence: literature review54 cited
  • 2021Stock trading rule discovery with double deep Q-network48 cited
  • 2020An Efficient Word Embedding and Deep Learning Based Model to Forecast the Direction of Stock Exchange Market Using Twitter and Financial News Sites: A Case of Istanbul Stock Exchange (BIST 100)46 cited
  • 2022NumHTML: Numeric-Oriented Hierarchical Transformer Model for Multi-Task Financial Forecasting44 cited
  • 2020An integrated model for textual social media data with spatio-temporal dimensions12 cited