Portfolio diversification across cryptocurrencies

【Author】 Liu, Weiyi

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】Utilizing the empirical data of ten major cryptocurrencies, this article examines the investablitiy and role of diversification in cryptocurrency market, and evaluates the out-of-sample performance of commonly used asset allocation models across cryptocurrencies. We show that portfolio diversification across different cryptocurrencies can significantly improve the investment results. We also find robust evidence that the maximum utility model dominates the out-of-sample utility, although none of the models can consistently beat the naive 1/N portfolio in Sharpe ratio.

【Keywords】Cryptocurrency; Portfolio diversification; Out-of-sample performance

【发表时间】2019 JUN

【收录时间】2022-01-02

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