Intelligent asset allocation via market sentiment views

• Main Authors: Xing, Frank Z., Cambria, Erik, Welsch, Roy E.
• Other Authors: School of Computer Science and Engineering
• Format: Article
• Language: English
• Published: 2020
• Subjects: Engineering::Computer science and engineering; Stock Markets; Covariance Matrices
• Online Access: https://hdl.handle.net/10356/140388
• Institution: Nanyang Technological University

The sentiment index of market participants has been extensively used for stock market prediction in recent years. Many financial information vendors also provide it as a service. However, utilizing market sentiment under the asset allocation framework has been rarely discussed. In this article, we i...