Optimization and Diversification of Cryptocurrency Portfolios: A Composite Copula-Based Approach

【Author】 Tenkam, Herve M.; Mba, Jules C.; Mwambi, Sutene M.

【Source】APPLIED SCIENCES-BASEL

【影响因子】2.838

【Abstract】This paper focuses on the selection and optimisation of a cryptoasset portfolio, using the K-means clustering algorithm and GARCH C-Vine copula model combined with the differential evolution algorithm. This integrated approach allows the construction of a diversified portfolio of eight cryptocurrencies and determines an optimal allocation strategy making it possible to minimize the conditional value-at-risk of the portfolio and maximise the return. Our results show that stablecoins such as True-USD are negatively correlated to the other cryptoassets in the portfolio and could therefore be a safe haven for crypto-investors during market turmoil. Our findings are in line with previous studies exhibiting stablecoins as potential diversifiers.

【Keywords】multivariate t-copula; CVaR; differential evolution algorithm; K-means clustering; vine copula; cryptocurrency

【发表时间】2022 JUL

【收录时间】2022-07-25

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-市场分析