뉴스 감성 분석을 반영한 포트폴리오 선정 모형의 투자 성과 분석: 한국 주식시장을 중심으로
Adjusted Portfolio Selection Model Reflecting News Sentiment Analysis: Focusing on South Korean Stock Market
박주미(연세대학교 경영대학 경영학과); 정민수(연세대학교 경영대학 경영학과); 김홍선(LG 에너지솔루션); 김성문(연세대학교 경영대학 경영학과)
49권 4호, 57~72쪽
초록
This paper proposes an adjusted portfolio selection model: SA-M portfolio selection model. SA-M portfolio model is based on Markowitz’s mean-variance portfolio selection model, but it adjusts the total proportion of capital invested in risky assets considering the result of news sentiment analysis. We applied KR-FinBERT to news headline data which were gathered from 8 different economic newspapers. The performance of this model was evaluated by using historical monthly stock return data of South Korean stock market. An investment was held from September 2012 to August 2023. As a result of the investment, SA-M portfolio selection model outperformed benchmark portfolios, suggesting the usefulness of sentimental analysis in terms of developing investment strategies.
Abstract
This paper proposes an adjusted portfolio selection model: SA-M portfolio selection model. SA-M portfolio model is based on Markowitz’s mean-variance portfolio selection model, but it adjusts the total proportion of capital invested in risky assets considering the result of news sentiment analysis. We applied KR-FinBERT to news headline data which were gathered from 8 different economic newspapers. The performance of this model was evaluated by using historical monthly stock return data of South Korean stock market. An investment was held from September 2012 to August 2023. As a result of the investment, SA-M portfolio selection model outperformed benchmark portfolios, suggesting the usefulness of sentimental analysis in terms of developing investment strategies.
- 발행기관:
- 한국경영과학회
- 분류:
- 경영학