Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...

In this paper we show, using a Machine Learning Framework and utilising a substantial corpus of media articles on Brexit, confirmed evidence of co-integration and causality between the ensuing media sentiments and British currency. The novel contribution of this paper is that along with...

In this study, we use a machine learning framework and draw on an extensive body of media articles on Brexit to provide evidence of co-integration and causality between the sentiments of the media and the movement of British currency. Our contribution to the literature is novel: in addition to...