Growing semantic vines for robust asset allocation by Xing, Frank Z., Cambria, Erik, Welsch, Roy E.

“…Our construction of a semantic vine improves the state-of-the-art arbitrary vine-growing method in the context of robust correlation estimation and multi-period asset allocation. The effectiveness of our methods on a large scale is also demonstrated by experiments.…”
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Intelligent asset allocation via market sentiment views by Xing, Frank Z., Cambria, Erik, Welsch, Roy E.

“…However, utilizing market sentiment under the asset allocation framework has been rarely discussed. In this article, we investigate the role of market sentiment in an asset allocation problem. …”
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Public mood – driven asset allocation : the importance of financial sentiment in portfolio management by Malandri, Lorenzo, Xing, Frank Z., Orsenigo, Carlotta, Vercellis, Carlo, Cambria, Erik

“…Unlike previous studies which set as target variable the asset prices in the portfolio, the variable to predict here is represented by the best asset allocation strategy ex post. Experiments performed on five portfolios show that long short-term memory networks are superior to multi-layer perceptron and random forests producing, in the period under analysis, an average increase in the revenue across the portfolios ranging between 5% (without financial mood) and 19% (with financial mood) compared to the equal-weighted portfolio. …”
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