Portfolio management strategies of cryptocurrencies

被引：1
作者：
Mills E.F.E.A. [1 ,2 ]
Zeng K. [1 ,2 ]
机构：
[1] Department of Finance, School of Economics and Management, Jiangxi University of Science and Technology, Ganzhou
[2] Ganzhou Academy of Financial Research (GAFR), Ganzhou
来源：
Zeng, Kailin (kailinzeng12@163.com) | 1600年 / Inderscience Publishers卷 / 14期
关键词：
Cryptocurrencies; Diversification; Portfolio strategy; Risk;
D O I：
10.1504/IJADS.2021.112928
中图分类号：
学科分类号：
摘要：
This study explores the portfolio management of cryptocurrencies by assessing the out-of-sample performance of selected portfolio strategies in the literature. Using daily data from 500 randomly selected cryptocurrencies with monthly and weekly revision, the scaled and stable mean-variance-entropic (MVE) value-at-risk portfolios outperform other portfolio strategies closely followed by 1/N portfolios. The mean Sharpe ratio with transaction costs of both MVE and 1/N was higher than that of benchmark, Coinbase index. Indeed, diversification across cryptocurrencies does improve investment results and mitigates risk exposure. The findings of this research are crucial for practitioners as they showcase a coherent manner to aid fund managers and investors in their investment practices. Copyright © 2021 Inderscience Enterprises Ltd.
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收藏
页码：43 / 54
页数：11
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