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.
引用
收藏
页码：43 / 54
页数：11
相关论文
共 37 条
  • [11] Cermak V., Can Bitcoin become a viable alternative to fiat currencies? An empirical analysis of Bitcoin's volatility based on a GARCH model, SSRN Electronic Journal, (2017)
  • [12] Ciaian P., Rajcaniova M., Kancs d., The economics of BitCoin price formation, Applied Economics, (2016)
  • [13] Corbet S., Meegan A., Larkin C., Lucey B., Yarovaya L., Exploring the dynamic relationships between cryptocurrencies and other financial assets, Economics Letters, (2018)
  • [14] DeMiguel V., Garlappi L., Uppal R., Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy?, Review of Financial Studies, (2009)
  • [15] Dyhrberg A.H., Hedging capabilities of bitcoin. Is it the virtual gold?, Finance Research Letters, (2016)
  • [16] Filomena T.P., Lejeune M.A., Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments, Operations Research Letters, 40, 3, pp. 212-217, (2012)
  • [17] Foley S., Karlsen J.R., Putnins T.J., Sex, drugs, and Bitcoin: how much illegal activity is financed through cryptocurrencies?, Review of Financial Studies, (2019)
  • [18] Fry J., Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?, Economics Letters, (2018)
  • [19] Fry J., Cheah E.T., Negative bubbles and shocks in cryptocurrency markets, International Review of Financial Analysis, (2016)
  • [20] Huynh T.L.D., Spillover risks on cryptocurrency markets: a look from VAR-SVAR granger causality and Student's - t copulas, Journal of Risk and Financial Management, (2019)
1234