Portfolio management with cryptocurrencies: the role of estimation risk

DOI10.1016/j.econlet.2019.01.019zbMath1411.91526OpenAlexW2913024436WikidataQ128529608 ScholiaQ128529608MaRDI QIDQ1738423

Emmanouil Platanakis, Andrew Urquhart

Publication date: 18 April 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://centaur.reading.ac.uk/81734/1/ELs-Blind.Submission.R%26R%5B1%5D.pdf

zbMATH Keywords

portfolio optimizationcryptocurrenciesestimation errors

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (8)

Technical trading and cryptocurrencies ⋮ Modelling and filtering for dynamic investment in the precious-metals market ⋮ Performance measurement of crypto funds ⋮ What can monetary policy tell us about bitcoin? ⋮ Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection ⋮ Dynamic linkages and economic role of leading cryptocurrencies in an emerging market ⋮ Momentum trading in cryptocurrencies: short-term returns and diversification benefits ⋮ Cryptocurrencies in institutional investors' portfolios: evidence from industry stop-loss rules

Cites Work

• Volatility and return jumps in Bitcoin
• Optimal vs naïve diversification in cryptocurrencies
• The benefits of differential variance-based constraints in portfolio optimization
• Model-based pairs trading in the bitcoin markets

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