A Fuzzy Behavioral Portfolio Model Based on Text Sentiment Analysis
نویسنده
چکیده
A Fuzzy Behavioral Portfolio model (FBPM) is proposed for security investment with insufficient market information and uncertain emotion influence on investment return and risk. Based on the general behavioral portfolio theory, trapezoidal fuzzy number is employed to characterize investment return and risk. Text emotion analysis based on emotional lexicons is introduced to obtain the market investment emotion and then adjust the investment value function to obtain the optimal portfolio solution of security. In the end, the back testing on Shanghai Composite Index, Shenzhen Component Index and Growth Enterprise Market Index implies the advantage of FBPM on both return and risk. Keywords—Text Emotion Analysis;Behavior Investment of Security;Fuzzy Portfolio Decision;Fuzzy Return ; Fuzzy Risk
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