Portfolio selection: should investors include crypto-assets? A multiobjective approach

【Author】 Youssef, Meriem; Ben Naoua, Bouthaina; Ben Abdelaziz, Fouad; Chibane, Messaoud

【Source】INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH

【影响因子】3.610

【Abstract】This paper analyzes the diversification benefits of adding alternative crypto-assets in a traditional portfolio, from the perspective of an investor who seeks to achieve multiple objectives. Our analysis is based on daily and weekly return data for eight different assets including Bitcoin, Ethereum, Ripple, for the crypto-assets and NASDAQ, S&P500, Dow-Jones, Crude-Oil, and Gold, for traditional assets. We use both in-sample and out-of-sample estimation procedures to analyze these data sets. We apply the weighted sum of deviations goal programming method to solve a bi-objective optimization problem where investors optimize simultaneously portfolio risk and return. For a variety of investor characteristics, ranging from risk-seeking to risk-averse, we show that augmenting portfolios with alternative crypto-currencies improves portfolio performance and the efficiency frontier, compared to standard portfolios. This improvement is even more observable for risk-seeking investors, for both in-sample and out-of-sample estimation procedures.

【Keywords】portfolio selection; crypto-assets; diversification; bi-objective optimization; goal programming

【发表时间】

【收录时间】2022-09-06

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币