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dc.contributor.advisorMiettinen, Kaisa
dc.contributor.advisorHartikainen, Markus
dc.contributor.authorFaizan, Muhammad Azfar
dc.date.accessioned2019-06-04T08:18:22Z
dc.date.available2019-06-04T08:18:22Z
dc.date.issued2019
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/64301
dc.description.abstractVolatility (or risk) in stock market is a crucial factor that has always been of great interest to investors to facilitate the decision making about their investments. The two core objectives of investors are optimization of volatility and generation of returns at the same time. One can also assume that news can be a factor which can determine volatility when combined with daily returns. In this study we used multiobjective optimization and sentiment analysis of news data together to create two models. In the first multiobjective optimization model, we optimize risk and returns using the conventional formulation and daily returns data. In the second multiobjective optimization model, we again optimize risk and returns but calculate returns differently using daily returns as well as sentiment analysis using news data to see if the model including news behaves differently as compared to the conventional model. The results of both the models have been analyzed in this study. It has been found that while keeping several factors constant, we found no difference in the risk and return of both the models.en
dc.format.extent62
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.subject.otherMultiobjective optimization
dc.subject.otherBig data analysis
dc.subject.otherSentiment analysis
dc.subject.otherPortfolio optimization
dc.subject.otherTime series
dc.titleMultiobjective portfolio optimization including sentiment analysis
dc.identifier.urnURN:NBN:fi:jyu-201906042910
dc.type.ontasotPro gradu -tutkielmafi
dc.type.ontasotMaster’s thesisen
dc.contributor.tiedekuntaInformaatioteknologian tiedekuntafi
dc.contributor.tiedekuntaFaculty of Information Technologyen
dc.contributor.laitosInformaatioteknologiafi
dc.contributor.laitosInformation Technologyen
dc.contributor.yliopistoJyväskylän yliopistofi
dc.contributor.yliopistoUniversity of Jyväskyläen
dc.contributor.oppiaineTietotekniikkafi
dc.contributor.oppiaineMathematical Information Technologyen
dc.rights.copyrightJulkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty.fi
dc.rights.copyrightThis publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.en
dc.type.publicationmasterThesis
dc.contributor.oppiainekoodi602
dc.subject.ysobig data
dc.subject.ysooptimointi
dc.subject.ysodata
dc.subject.ysobig data
dc.subject.ysooptimisation
dc.subject.ysodata
dc.format.contentfulltext
dc.type.okmG2


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