Optimal vs naive diversification in cryptocurrencies

【Author】 Platanakis, Emmanouil; Sutcliffe, Charles; Urquhart, Andrew

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This paper contributes to the literature on cryptocurrencies by examining the performance of naive (1/N) and optimal (Markowitz) diversification in a portfolio of four popular cryptocurrencies. We employ weekly data with weekly rebalancing and show there is very little to select between naive diversification and optimal diversification. Our results hold for different levels of risk-aversion and an alternative estimation window. (C) 2018 Published by Elsevier B.V.

【Keywords】Cryptocurrencies; Optimal diversification; Naive diversification; Portfolio optimization

【发表时间】2018 OCT

【收录时间】2022-01-02

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