Optimal vs naïve diversification in cryptocurrencies

DOI10.1016/J.ECONLET.2018.07.020zbMath1397.91559OpenAlexW2884875812WikidataQ58875112 ScholiaQ58875112MaRDI QIDQ1787995

Emmanouil Platanakis, Andrew Urquhart, Charles Sutcliffe

Publication date: 8 October 2018

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

Full work available at URL: http://centaur.reading.ac.uk/78105/3/Optimal%20vs%20Naive%20Diversificationin%20Cryptocurrencies%20-%20Final%20Version.pdf

zbMATH Keywords

portfolio optimizationcryptocurrenciesnaïve diversificationoptimal diversification

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Technical trading and cryptocurrencies ⋮ Modelling and filtering for dynamic investment in the precious-metals market ⋮ Portfolio management with cryptocurrencies: the role of estimation risk ⋮ Dynamic linkages and economic role of leading cryptocurrencies in an emerging market ⋮ Blockchain and cryptocurrencies: economic and financial research ⋮ Momentum trading in cryptocurrencies: short-term returns and diversification benefits ⋮ Cryptocurrencies in institutional investors' portfolios: evidence from industry stop-loss rules

Cites Work

• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Price clustering in bitcoin
• An application of extreme value theory to cryptocurrencies
• Adaptive market hypothesis and evolving predictability of bitcoin
• Model-based pairs trading in the bitcoin markets

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