Portfolio Construction with News Sentiment using a Large Language Model
“The resulting portfolio achieves an annualized Sharpe ratio of 3.96, significantly higher than that of a passive investment (as proxied by S&P 500 index) and dictionary method, which achieves a Sharpe ratio of 0.32 and 2.94 respectively.”
StrategyPortfolio optimizationnews sentiment
TechniqueLarge language model
ClaimSharpe ratio
InputsText and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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