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We present iSA (integrated sentiment analysis), a novel algorithm designed for social networks and Web 2.0 sphere (Twitter, blogs, etc).
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We aim to fill this research gap by integrating sentiment directly into a portfolio optimization procedure.
We thereby integrate sentiment in a way that incorporates the results of both the theoretical and empirical literature regarding the effects of investor sentiment on stock markets.
While there already have been numerous studies trying to exploit this information, primarily by forecasting either returns or volatility and subsequently using suitable trading strategies or by employing nonparametric long short portfolio approaches, there are no studies which integrate sentiment into a portfolio optimization framework.
We, therefore, aim to contribute to the sentiment literature using sentiment not for forecasting returns and volatility and forming portfolios based on these forecasts, but rather by integrating investor sentiment directly into the portfolio optimization.
(Q_1:) How can investor sentiment be integrated into portfolio optimization using the COP methodology?
In brief, we aim to examine three core research questions in our empirical study: (Q_1:) How can investor sentiment be integrated into portfolio optimization using the COP methodology?
The sentiment measures are integrated into a portfolio optimization procedure by the application of the Copula Opinion Pooling method introduced by Meucci (2006b).
In this paper we describe our methodology to integrate domain-specific sentiment analysis in a lexicon-based system initially designed for general language texts.
The invitation expressed their desire "to integrate the growing sentiment which we believe exists in this country for holding wild areas sound-proof as well as sight-proof from our increasingly mechanized life" and their conviction that such wildernesses were "a serious human need rather than a luxury and plaything".
Echoing Jealous' sentiments, Morial said, "We have social media integrated into every single thing we do.
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