Parametric portfolio policy with momentum-based sentiment trading strategy

• Wen-Yi Lee,

  Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Methodology, Project administration, Software, Supervision, Validation, Writing – original draft, Writing – review & editing

  Affiliation Department of Information Management, National Taipei University of Business, Taipei, Taiwan

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• Yu-Hsuan Lin,

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Software

  Affiliation Department of Information Management, National Taipei University of Business, Taipei, Taiwan

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• Jing-Rung Yu ,

  Roles Formal analysis, Investigation, Methodology, Validation, Writing – original draft, Writing – review & editing

  * E-mail: jennifer@ncnu.edu.tw

  Affiliation Department of Information Management, National Chi Nan University, Nantou, Taiwan

  https://orcid.org/0000-0002-0042-4255

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• Donald Lien

  Roles Methodology, Validation, Writing – original draft, Writing – review & editing

  Affiliation Department of Statistics and Data Science, University of Texas at San Antonio, United States of America

  https://orcid.org/0000-0002-0659-2831

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