Bearing the bear: Sentiment-based disagreement in multi-criteria portfolio optimization

Glogger S., Heiden S. and Schneller D.

Finance Research Letters, 2019, vol. 31, issue C, 47-53

Abstract: Employing a nonlinear multi-criteria optimization approach, sentiment-based disagreement is incorporated into portfolio optimization as additional risk factor. A multi-criteria trading strategy outperforms several benchmarks regarding various performance measures. Applying the strategy over a long time period including downturns and upswings, disagreement proves itself especially valuable in bear markets as it is an indicator for future volatility.

Keywords: Portfolio optimization; Investor sentiment; Multi-criteria optimization; Sentiment-based disagreement (search for similar items in EconPapers)
JEL-codes: C58 G11 G40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:47-53

DOI: 10.1016/j.frl.2019.04.017

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