03695ntm a22005897i 4500 000716492 CZ-PrVSE 20240824093620.0 m d cr n|||||||||| 240824s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Hoang, Nam ISIS:149302 dis Optimalizace portfolio pomocí kvantitativní a sentimentální analýzy eng Portfolio optimization with quantitative and newspaper sentiment analysis / Nam Hoang 2024 ?? stran : digital, PDF soubor Vedoucí práce: Adam Borovička Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 This thesis explores integrating sentiment analysis of newspaper articles into portfolio selection based on quantitative analysis. The empirical study proposes an optimization model incorporating both analyses to achieve performance enhancement over selected benchmark. By incorporating sentiment-driven adjustments into traditional quantitative measures such as the Historical volatility, Sharpe Ratio, and Jensen’s Alpha, the optimized portfolio achieves better returns over a period of 5 years. Through an extensive analysis, it is established that sentiment analysis positively impacts the model and shows great potential in actively managed portfolios. The model was tested under different scenarios, where one included the application of a 1~\% transaction charge and reduced trade volumes. The results indicate that although the sentiment-enhanced model shows competitive performance against the NASDAQ Composite index, certain factors, such as significant investments in assets with unpredictable price jumps, highlight the need for further refinements. These improvements are left for future extension of this work. Overall, the findings underscore the potential of sentiment analysis in financial modeling while also pointing out areas for future research and optimization. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas algorithmic trading goal programming portfolio selection Python quantitative analysis sentiment analysis of newspaper stock investment Borovička, Adam ISIS:42042 ths Neugebauer, Jakub ISIS:135709 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/85006/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/85006 Hlavní práce https://insis.vse.cz/zp/85006/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/85006/posudek/oponent/83912 Oponentura https://insis.vse.cz/zp/85006/priloha/29376 Přiloha k práci https://insis.vse.cz/zp/85006/priloha/29377 Přiloha k práci https://insis.vse.cz/zp/85006/priloha/29378 Přiloha k práci https://insis.vse.cz/zp/85006/priloha/29379 Přiloha k práci https://insis.vse.cz/zp/85006/podrobnosti dc:identifier NEPOSILAT VSKP vse85006 240823 85006