Optimal cryptocurrency portfolio allocation over the life cycle

【Author】 Rudys, Valentinas; Svogun, Daniel

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】Most of the literature on life cycle investment portfolio analysis focuses on the allocation between risky stocks and safe bonds. We introduce a new risky asset class, cryptocurrency, to a standard consumption-investment life cycle model. Our model suggests that the optimal investment profile in cryptocurrencies declines with age. Young investors mainly invest in cryptocurrency. As age and wealth increase, investors transition to mostly stocks mid-career and mostly bonds in retirement. A welfare analysis shows significant utility losses from not participating in the cryptocurrency market or not adjusting cryptocurrency portfolio shares throughout the life cycle.

【Keywords】Portfolio allocation; life cycle; cryptocurrency; bitcoin; saving; investing

【发表时间】

【收录时间】2022-11-30

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-数字货币