Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles
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arXiv
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| Hauptverfasser: | , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866912137981460480 |
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| author | Abe, Yoshia Matsuo, Shuhei Kondo, Ryoma Hisano, Ryohei |
| author_facet | Abe, Yoshia Matsuo, Shuhei Kondo, Ryoma Hisano, Ryohei |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_19515 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles Abe, Yoshia Matsuo, Shuhei Kondo, Ryoma Hisano, Ryohei Computational Engineering, Finance, and Science Multiagent Systems 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. |
| title | Leveraging Large Language Models for Institutional Portfolio Management: Persona-Based Ensembles |
| topic | Computational Engineering, Finance, and Science Multiagent Systems |
| url | https://arxiv.org/abs/2411.19515 |