Large cryptocurrency-portfolios: efficient sorting with leverage constraints

【Author】 Yang, Yang; Zhao, Zhao

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】Using daily data of the 100 largest cryptocurrencies, we construct the efficient sorting portfolios and the quantile-based sorting portfolios based on ten factors. We find two price factors that can well predict cryptocurrency returns. The efficient sorting portfolios outperform the traditional quantile-based portfolios and the naive 1/N portfolios. The outperformance is largely due to the use of DCC-NL estimator, which captures the dynamic of covariance matrix and meanwhile addresses the curse of dimensionality. In addition, leverage constraints are important for cryptocurrency portfolios to control their risks.

【Keywords】Large portfolios; cryptocurrencies; efficient sorting; leverage constraints; DCC-NL

【发表时间】2020 2022-05-03

【收录时间】2022-01-02

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