Comparative performance of cryptocurrencies through the Aumann-Serrano economic index of riskiness

【Author】 Yamawake, Toshiyuki; Sheely, Joseph; Serrano, Roberto; Hodoshima, Jiro

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【Abstract】We present evaluations of cryptocurrencies based on the performance index derived from the Aumann-Serrano-henceforth, AS-economic index of riskiness. Bitcoin is rated quite poorly-much riskier-compared to other cryptocurrencies, although it is the most popular and has the largest market capitalization among all the cryptocurrencies. On the other hand, the stock market ETF, SPY, is rated the best-least risky-and much better than cryptocurrencies by the AS performance index, contrasting sharply to the evaluation made by the Sharpe ratio.

【Keywords】Cryptocurrencies; Performance index; Aumann-Serrano index; Multi-period gambles; One-period gambles; G11; C22; C46

【发表时间】2024 2024 OCT 9

【收录时间】2024-10-17

【文献类型】实验仿真

【主题类别】

区块链治理-市场治理-市场分析