Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles

Large language models (LLMs) have demonstrated promising performance in various financial applications, though their potential in complex investment strategies remains underexplored. To address this gap, we investigate how LLMs can predict price movements in stock and bond portfolios using economic indicators, enabling portfolio adjustments akin to those employed by institutional investors. Additionally, we explore the impact of incorporating different personas within LLMs, using an ensemble approach to leverage their diverse predictions. Our findings show that LLM-based strategies, especially when combined with the mode ensemble, outperform the buy-and-hold strategy in terms of Sharpe ratio during periods of rising consumer price index (CPI). However, traditional strategies are more effective during declining CPI trends or sharp market downturns. These results suggest that while LLMs can enhance portfolio management, they may require complementary strategies to optimize performance across varying market conditions.

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Publication Details

Published
2024-12-15
DOI
https://doi.org/10.1109/bigdata62323.2024.10825362
Citations
2
Primary Topic
Machine Learning in Healthcare
Type
article
Field-Weighted Citation Impact
0.69
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article

Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles

Yoshiteru Abe, Ryohei Hisano, Ryoma Kondo, Sadao Matsuo
2 citations
Machine Learning in Healthcare
0.69
article

Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles

Yoshiteru Abe, Ryohei Hisano, Ryoma Kondo, Sadao Matsuo
article en
2 citations

Abstract

Large language models (LLMs) have demonstrated promising performance in various financial applications, though their potential in complex investment strategies remains underexplored. To address this gap, we investigate how LLMs can predict price movements in stock and bond portfolios using economic indicators, enabling portfolio adjustments akin to those employed by institutional investors. Additionally, we explore the impact of incorporating different personas within LLMs, using an ensemble approach to leverage their diverse predictions. Our findings show that LLM-based strategies, especially when combined with the mode ensemble, outperform the buy-and-hold strategy in terms of Sharpe ratio during periods of rising consumer price index (CPI). However, traditional strategies are more effective during declining CPI trends or sharp market downturns. These results suggest that while LLMs can enhance portfolio management, they may require complementary strategies to optimize performance across varying market conditions.

Canon (Japan) (JP), The University of Tokyo (JP)
Openalex Percentile: Top 22%
Machine Learning in Healthcare
0.69
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