Adjusted Portfolio Selection Model Reflecting News Sentiment Analysis: Focusing on South Korean Stock Market

This paper proposes an adjusted portfolio selection model: SA-M portfolio selection model. SA-M portfolio model is based on Markowitz’s mean-variance portfolio selection model, but it adjusts the total proportion of capital invested in risky assets considering the result of news sentiment analysis. We applied KR-FinBERT to news headline data which were gathered from 8 different economic newspapers. The performance of this model was evaluated by using historical monthly stock return data of South Korean stock market. An investment was held from September 2012 to August 2023. As a result of the investment, SA-M portfolio selection model outperformed benchmark portfolios, suggesting the usefulness of sentimental analysis in terms of developing investment strategies.