Generative AI-enhanced Sector-based Investment Portfolio Construction
“During stable market conditions, LLM-weighted portfolios frequently outperformed sector indices on both cumulative return and risk-adjusted (Sharpe ratio) measures.”
AssetEquitiesindices, single stocks
StrategyNews sentimentportfolio optimization
TechniqueLarge language model
GeographyUS
Also stated: Sharpe ratio, Excess return, Profit, Text and news, benchmark, out-of-sample test, universe of 20 stocks
Missing from abstract: costs, multiple testing
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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