May 2011
Beginner to intermediate
384 pages
12h 28m
English
Content preview from The Handbook of News Analytics in FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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13
Equity portfolio risk estimation using market information and sentiment
Leela Mitra, Gautam Mitra, and Dan diBartolomeo
ABSTRACT
Multifactor models are often used as a tool to describe equity portfolio risk. Naturally, risk is dependent on the market environment and investor sentiment. Traditional factor models fail to update quickly as market conditions change. It is desirable that risk model updates incorporate new information as it becomes available and for this reason diBartolomeo and Warrick (2005) introduce a factor model that uses option-implied volatility to improve estimates of a future covariance matrix. We extend this work to use both quantified news and implied volatility to improve risk estimates as the market sentiment and environment changes.
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