Optimal vs naïve diversification in cryptocurrencies
By Emmanouil Platanakis, Charles M. S. Sutcliffe, Andrew Urquhart. Economics Letters, 2018
115 citations recorded by the source corpus.
This paper contributes to the literature on cryptocurrencies by examining the performance of naive (1/N) and optimal (Markowitz) diversification in a portfolio of four popular cryptocurrencies. We employ weekly data with weekly rebalancing and show there is very little to select between naive diversification and optimal diversification. Our results hold for different levels of risk-aversion and an alternative estimation window.
Subfields: Economics and Econometrics, Finance, Information Systems
View Paper: https://www.semanticscholar.org/paper/27d1b92223d2bc4e60cbf301fc724b2918b4fb2e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Emmanouil Platanakis
- Andrew Urquhart
- Paraskevi Katsiampa
- Pengfei Wang
- Dehua Shen
- Tetsuya Takaishi
- Ahmet Sensoy
- Aurelio Fernández Bariviera
In Finance
In Information Systems
- Emmanouil Platanakis
- Andrew Urquhart
- Paraskevi Katsiampa
- Pengfei Wang
- Dehua Shen
- Tetsuya Takaishi
- Ahmet Sensoy
- Aurelio Fernández Bariviera
Citations in the corpus
- Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “Following Bessler et al (2017) and Platanakis et al (2018), amongst other, we set to the equally-weighted portfolio This is the case where investors consider that asset return estimates involve a high degree of estimation risk.”
- Is Bitcoin a hedge or safe haven for currencies? An intraday analysis (2019, unknown): “Platanakis et al (2018) examine the diversification benefits of cryptocurrencies and show that there is little difference between optimal and naïve diversification.”