News Sentiment Analysis (Part 2)
In the previous post, I’ve replicated Fraiberger et al (2018) for the Korean market to show that Reuter Korea related news have predictive power on the next day’s KOSPI 200...
News Sentiment Analysis (Part I)
There are a number of studies in the Finance literature, which point to the media as a predictive indicator of stock market movement. While the the earlier set of sentiment...
Reinforcement Learning Portfolio Management
Mean-variance portfolio problem is a classical problem in Finance. Given the a universe of $N$ stocks with expected returns of $\mu$ and covariance matrix $\Sigma$, mean-variance portfolio problem can be...