Cryptocurrency-portfolios in a mean-variance framework

【Author】 Brauneis, Alexander; Mestel, Roland

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We apply the Markowitz mean-variance framework in order to assess risk-return benefits of cryptocurrency-portfolios. Using daily data of the 500 most capitalized cryptocurrencies for the time span 1/1/2015 to 12/31/2017, we relate risk and return of different mean-variance portfolio strategies to single cryptocurrency investments and two benchmarks, the naively diversified portfolio and the CRIX. In an out-of-sample analysis accounting for transaction cost we find that combining cryptocurrencies enriches the set of 'low'-risk cryptocurrency investment opportunities. In terms of the Sharpe ratio and certainty equivalent returns, the 1/N-portfolio outper-forms single cryptocurrencies and more than 75% of mean-variance optimal portfolios.

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

【发表时间】2019 MAR

【收录时间】2022-01-02

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