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Risk-aware Regularization for Opinion-based Portfolio Selection

Authors

Ting-Wei Hsu,Chung-Chi Chen,Hen-Hsen Huang,Hsin-Hsi Chen

Department of Computer Science and Information Engineering, National Taiwan University, Taiwan,Department of Computer Science and Information Engineering, National Taiwan University, Taiwan,Department of Computer Science, National Chengchi University, Taiwan MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan,Department of Computer Science and Information Engineering, National Taiwan University, Taiwan MOST Joint Research Center for AI Technology and All Vista Healthcare, Taiwan


Proceedings:

Vol. 15 (2021): Fifteenth International AAAI Conference on Web and Social Media

Volume

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Vol. 15 (2021): Fifteenth International AAAI Conference on Web and Social Media

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Poster Papers

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Abstract:

Every investor faces the risk-return tradeoff when making investment decisions. Most of the investors construct a portfolio instead of putting all of their wealth on a certain stock. However, most of the previous works in the NLP community focus on predicting the movement of stocks' prices or volatilities, but do not consider the portfolio selection issue. On the other hand, few works consider unstructured data in the financial community when dealing with this issue. This paper introduces a novel opinion-based portfolio selection task, and proposes new objective functions presenting different risk appetites of investors. The empirical studies of the selecting portfolio are also discussed with both Sharpe ratio and volatility metrics.

DOI:

10.1609/icwsm.v15i1.18134


ICWSM

Vol. 15 (2021): Fifteenth International AAAI Conference on Web and Social Media