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Benefits of sectoral cryptocurrency portfolio optimization

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  • Čuljak, Maria
  • Tomić, Bojan
  • Žiković, Saša

Abstract

When creating a portfolio, investors should consider the dynamics of the income ratio of the selected portfolio asset in order to identify and quantify the investment risk. This research paper formally identifies and describes the benefits of sectoral cryptocurrency classification portfolio optimization and its performance. Six optimization targets will be tested: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. We compare the obtained portfolios with the performance of the CRIX index (representing the crypto market) over the same period. Our results show that five out of six portfolio strategies performed better if they included sectoral cryptocurrencies, namely from financial, exchange and business services sectors.

Suggested Citation

  • Čuljak, Maria & Tomić, Bojan & Žiković, Saša, 2022. "Benefits of sectoral cryptocurrency portfolio optimization," Research in International Business and Finance, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000034
    DOI: 10.1016/j.ribaf.2022.101615
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    References listed on IDEAS

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    Cited by:

    1. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Unveiling the diversification capabilities of carbon markets in NFT portfolios," Finance Research Letters, Elsevier, vol. 58(PD).
    2. Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
    3. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Masih, Mansur, 2022. "COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    4. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).

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    More about this item

    Keywords

    Cryptocurrency; Portfolio optimization; Sectoral classification; Investments;
    All these keywords.

    JEL classification:

    • E49 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Other
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • P45 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - International Linkages

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