The portfolio strategy under the influence of market attention

Abstract

This study focuses on the relatively absent link between market attention and portfolio optimization with a view to enhancing portfolio selection strategies. The motivation for this study stems from the recognized impact of market attention on predicting individual stock movements and the lack of exploration of its impact on portfolio manage- ment. Addressing this research gap, this study aims to reveal how incorporating market attention into traditional portfolio optimization models can significantly improve the efficiency and effectiveness of portfolio selection strat- egies. This study uses time-series data from Google Trends to quantify attention and integrate it into a portfolio optimization model. By comparing traditional portfolio optimization methods, such as the minimum CVaR method with a method that incorporates market attention, this study highlights the substantial enhancements that result from incorporating market attention into portfolio selection strategies. This exploration empirically demonstrates the ef- ficacy of portfolio optimization when considering market attention and bridges the gap in the existing literature.