Portfolio diversification across cryptocurrencies

By Weiyi Liu. Finance Research Letters, 2019

181 citations recorded by the source corpus.

Abstract Utilizing the empirical data of ten major cryptocurrencies, this article examines the investablitiy and role of diversification in cryptocurrency market, and evaluates the out-of-sample performance of commonly used asset allocation models across cryptocurrencies. We show that portfolio diversification across different cryptocurrencies can significantly improve the investment results. We also find robust evidence that the maximum utility model dominates the out-of-sample utility, although none of the models can consistently beat the naive 1/N portfolio in Sharpe ratio.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/c5bbe4f0e25a6ce88923b9c80bd707cdf8cebdcf

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Citations in the corpus

Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (2019, unknown): “Nevertheless, some articles have focused on the multivariate cryptocurrency context, such as Jiang and Liang (2017), Liu (2019), Katsiampa (2019a), Katsiampa (2019b), Koutmos (2018), Borri (2019), Brauneis andMestel (2019) and Chaim and Laurini (2019).”
Cryptocurrencies as a financial asset: A systematic analysis (2019, background): “Liu (2016). The evolution of the bitcoin economy: extracting and analyzing the network of payment relationships.”
Cryptocurrency trading: a comprehensive survey (2020, background): “Diversified investment of portfolio in cryptocurrency market includes portfolio across cryptocurrencies [152] and portfolio across global market including stocks and futures [123].”
The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020, background): “Liu (2019) further identified portfolio benefits from the inclusion of cryptocurrency.”
A time–frequency analysis of the impact of the Covid-19 induced panic on the volatility of currency and cryptocurrency markets (2020, background): “All rights reserved. of cryptocurrencies as diversifying investments (Liu, 2019; Tiwari et al., 2019; Conlon and McGee, 2020; Gil-Alana et al., 2020).”