Dear Dr. Yu,

Thank you for submitting your manuscript to PLOS ONE. After careful consideration, we feel that it has merit but does not fully meet PLOS ONE’s publication criteria as it currently stands. Therefore, we invite you to submit a revised version of the manuscript that addresses the points raised during the review process.

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ACADEMIC EDITOR: 

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We look forward to receiving your revised manuscript.

Kind regards,

Jae Wook Song

Academic Editor

PLOS ONE

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Grant number: NSTC 111-2410-H-141-004-The National Science and Technology Council, Taiwan

URL: https://www.nstc.gov.tw/

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Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

1. Is the manuscript technically sound, and do the data support the conclusions?

Reviewer #1: No

Reviewer #2: Partly

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2. Has the statistical analysis been performed appropriately and rigorously? -->?>

Reviewer #1: No

Reviewer #2: Yes

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3. Have the authors made all data underlying the findings in their manuscript fully available??>

The PLOS Data policy

Reviewer #1: No

Reviewer #2: No

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4. Is the manuscript presented in an intelligible fashion and written in standard English??>

Reviewer #1: Yes

Reviewer #2: No

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Reviewer #1: The paper proposes a method but fails to implement it to some read-world case study. The data used are old, they need to update the references and expand their results. The authors also need to validate their results using some alternative methods in order to show the effectiveness of their results.

Reviewer #2: Comment 1: In the proposed model, the top 30% of assets are first selected based on past returns, followed by an additional filtering of the top 10% with the most positive sentiment. This implies that only the top 3% of assets are finally selected.

On the other hand, in MV_M, the top 10% assets are selected solely based on returns.

This discrepancy in the number of selected stocks makes the comparison between MV_M and MV_MS potentially imbalanced.

It would strengthen the analysis to either (a) tune the 30% and 10% thresholds, or (b) compare both models using the same number of selected stocks.

Comment 2: The parameter alpha, which controls the balance between the current and previous portfolio weights, is fixed at 0.5.

It would be beneficial to include a sensitivity analysis varying alpha to assess its impact on both turnover and portfolio performance.

Comparing turnover rates and returns under different alpha values could add depth to the empirical results.

Comment 3: Please double-check the sign of the last term in Equation (8).

Should it be a plus sign rather than a minus?

Comment 4: The variables l+ and l- appear to represent the quantities of buying and selling, respectively, between consecutive rebalancing periods.

However, this explanation is not clearly articulated in the manuscript.

Adding a concise but clear explanation will help readers better understand the role of these terms in calculating transaction costs.

Comment 5: The description of sentiment score computation is overly brief. Simply stating that NLTK was used is insufficient.

More detail is needed regarding how the sentiment scores were extracted from the text, such as which lexicon or model was applied, how documents were tokenized, and how firm-level sentiment was aggregated.

Comment 6: Please consider including descriptive statistics for the news data used in the sentiment analysis.

This would help validate the robustness and distribution of the sentiment signals.

Comment 7: The manuscript does not clearly explain how each article was mapped to a specific stock.

What criteria were used — such as company name/entity recognition, ticker mentions, or other NLP-based rules?

A brief methodological explanation is needed.

Comment 8: In Table 2, MV_MS holds fewer assets on average than MV_M, yet it incurs higher trading costs and turnover.

This result seems counterintuitive. Could the authors elaborate on why this is the case? A possible explanation might relate to more frequent or aggressive reallocations.

Comment 9: Please check for any typos overall.

"abovementioned", "previou", "Secion", "prposed", "other assets set are as"

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what does this mean? ). If published, this will include your full peer review and any attached files.

If you choose “no”, your identity will remain anonymous but your review may still be made public.

Do you want your identity to be public for this peer review? For information about this choice, including consent withdrawal, please see our Privacy Policy

Reviewer #1: No

Reviewer #2: No

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[NOTE: If reviewer comments were submitted as an attachment file, they will be attached to this email and accessible via the submission site. Please log into your account, locate the manuscript record, and check for the action link "View Attachments". If this link does not appear, there are no attachment files.]

While revising your submission, please upload your figure files to the Preflight Analysis and Conversion Engine (PACE) digital diagnostic tool, https://pacev2.apexcovantage.com/ . PACE helps ensure that figures meet PLOS requirements. To use PACE, you must first register as a user. Registration is free. Then, login and navigate to the UPLOAD tab, where you will find detailed instructions on how to use the tool. If you encounter any issues or have any questions when using PACE, please email PLOS at figures@plos.org . Please note that Supporting Information files do not need this step.

Parametric portfolio policy with momentum-based sentiment trading strategy

PONE-D-25-34570R1

Dear Dr. Yu,

We’re pleased to inform you that your manuscript has been judged scientifically suitable for publication and will be formally accepted for publication once it meets all outstanding technical requirements.

Within one week, you’ll receive an e-mail detailing the required amendments. When these have been addressed, you’ll receive a formal acceptance letter and your manuscript will be scheduled for publication.

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If your institution or institutions have a press office, please notify them about your upcoming paper to help maximize its impact. If they’ll be preparing press materials, please inform our press team as soon as possible -- no later than 48 hours after receiving the formal acceptance. Your manuscript will remain under strict press embargo until 2 pm Eastern Time on the date of publication. For more information, please contact onepress@plos.org.

Kind regards,

Jae Wook Song

Academic Editor

PLOS ONE

Reviewers' comments:

Reviewer's Responses to Questions

Comments to the Author

Reviewer #1: All comments have been addressed

Reviewer #2: All comments have been addressed

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2. Is the manuscript technically sound, and do the data support the conclusions??>

Reviewer #1: Yes

Reviewer #2: Partly

**********

3. Has the statistical analysis been performed appropriately and rigorously? -->?>

Reviewer #1: Yes

Reviewer #2: Yes

**********

4. Have the authors made all data underlying the findings in their manuscript fully available??>

The PLOS Data policy

Reviewer #1: Yes

Reviewer #2: Yes

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5. Is the manuscript presented in an intelligible fashion and written in standard English??>

Reviewer #1: Yes

Reviewer #2: Yes

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Reviewer #1: The paper has been improved and asnwered to all reviewers' questions. I believe the paper can be published in its present form and would contribute to the field of portfolio optimization.

Reviewer #2: The author has thoroughly addressed all the review comments I provided.

The issues I previously raised regarding the explanation of sentiment data acquisition and processing, as well as the need for additional experiments and sensitivity analyses, appear to have been fully addressed.

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what does this mean? ). If published, this will include your full peer review and any attached files.

If you choose “no”, your identity will remain anonymous but your review may still be made public.

Do you want your identity to be public for this peer review? For information about this choice, including consent withdrawal, please see our Privacy Policy

Reviewer #1: No

Reviewer #2: No

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