Portfolio management with cryptocurrencies: The role of estimation risk

【Author】 Platanakis, Emmanouil; Urquhart, Andrew

【Source】ECONOMICS LETTERS

【影响因子】1.469

【Abstract】This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naive diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of cryptocurrencies. We show that the advanced Black-Litterman model with VBCs yields superior out-of-sample risk-adjusted returns as well as lower risks. Our results are robust to the inclusion of transaction costs and short-selling, indicating that sophisticated portfolio techniques that control for estimation errors are preferred when managing cryptocurrency portfolios. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrencies; Estimation errors; Portfolio optimization

【发表时间】2019 APR

【收录时间】2022-01-02

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