On the efficient portfolio of cryptocurrencies' values
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Abstract
In this dissertation, we examine the potential diversification benefits and the allocation of weights for cryptocurrency portfolio optimization. Specifically, two portfolios were created. The first one consisted, exclusively, of the five most popular cryptocurrencies (Bitcoin, Ethereum, Litecoin, Ripple, Monero), which resulted in high risk due to high volatility in the closing values. The second one (mixed portfolio) was composed of the market index S&P500, and the four cryptocurrencies (Bitcoin, Ethereum, Litecoin & Ripple). This showed lower levels of risk by diversification. The returns were much more the same for both portfolios. The strategic models which were applied in this exercise were the following: a) the Naïve Model (1/N rule, equally weighted assets), b) the Minimum Variance Model, c) the Tangency Model (maximizing Sharpe Ratio, with a zero risk-free rate), and d) the Maximum Utility Model. Both portfolios were examined with two Rolling Windows each, the first one for 100 days and the second one for 252 days. Furthermore, the constraint of the “long” position (only) was applied, meaning that the values of the weights remained positive during the testing period (short selling is not permitted). Finally, there were no fees & charges to any of the examined portfolios. In conclusion, the mixed-asset portfolio showed better results by diversification.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
97Language
English
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα