Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Trimborn, Simon & Li, Mingyang & Härdle, Wolfgang Karl, 2017. "Investing with cryptocurrencies - A liquidity constrained investment approach," SFB 649 Discussion Papers 2017-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
References listed on IDEAS
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015.
"Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins,"
Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Working Papers CEB 13-031, ULB -- Universite Libre de Bruxelles.
- Marie Brière & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin," Post-Print hal-02315410, HAL.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," ULB Institutional Repository 2013/226296, ULB -- Universite Libre de Bruxelles.
- Green, Richard C & Hollifield, Burton, 1992.
"When Will Mean-Variance Efficient Portfolios Be Well Diversified?,"
Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
- Green, R.C. & Hollifield, B., 1990. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," GSIA Working Papers 1990-12, Carnegie Mellon University, Tepper School of Business.
- repec:bla:jfinan:v:58:y:2003:i:4:p:1651-1684 is not listed on IDEAS
- Härdle, Wolfgang Karl & Trimborn, Simon, 2015.
"CRIX or evaluating blockchain based currencies,"
SFB 649 Discussion Papers
2015-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Trimborn, Simon & Härdle, Wolfgang Karl, 2016. "CRIX or evaluating blockchain based currencies," SFB 649 Discussion Papers 2016-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Elendner, Hermann & Trimborn, Simon & Ong, Bobby & Lee, Teik Ming, 2016. "The cross-section of crypto-currencies as financial assets: An overview," SFB 649 Discussion Papers 2016-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:hum:wpaper:sfb649dp2017-014 is not listed on IDEAS
- Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018. "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers 2018-058, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Tim Schmitz & Ingo Hoffmann, 2020. "Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors," Papers 2006.06237, arXiv.org, revised Aug 2020.
- John Knight & Stephen Satchell, 2005. "Exact Properties of Measures of Optimal Investment for Institutional Investors," Birkbeck Working Papers in Economics and Finance 0513, Birkbeck, Department of Economics, Mathematics & Statistics.
- Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
- Yi Huang & Wei Zhu & Duan Li & Shushang Zhu & Shikun Wang, 2023. "Integrating Different Informations for Portfolio Selection," Papers 2305.17881, arXiv.org.
- Auh, Jun Kyung & Cho, Wonho, 2023. "Factor-based portfolio optimization," Economics Letters, Elsevier, vol. 228(C).
- Mishra, Anil V., 2015.
"Measures of equity home bias puzzle,"
Journal of Empirical Finance, Elsevier, vol. 34(C), pages 293-312.
- Mishra, Anil, 2013. "Measures of Equity Home Bias Puzzle," MPRA Paper 51223, University Library of Munich, Germany.
- Thomas J. Brennan & Andrew W. Lo, 2010.
"Impossible Frontiers,"
Management Science, INFORMS, vol. 56(6), pages 905-923, June.
- Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.
- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009.
"Predictable returns and asset allocation: Should a skeptical investor time the market?,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
- Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
- Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
- Trimborn, Simon & Härdle, Wolfgang Karl, 2018.
"CRIX an Index for cryptocurrencies,"
Journal of Empirical Finance, Elsevier, vol. 49(C), pages 107-122.
- Simon Trimborn & Wolfgang Karl Hardle, 2020. "CRIX an index for cryptocurrencies," Papers 2009.09782, arXiv.org.
- Trimborn, Simon & Härdle, Wolfgang Karl, 2020. "CRIX an Index for cryptocurrencies," IRTG 1792 Discussion Papers 2020-009, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Xing, Xin & Hu, Jinjin & Yang, Yaning, 2014. "Robust minimum variance portfolio with L-infinity constraints," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 107-117.
- M. Hashem Pesaran & Paolo Zaffaroni, 2008.
"Optimal Asset Allocation with Factor Models for Large Portfolios,"
CESifo Working Paper Series
2326, CESifo.
- Pesaran, M.H. & Zaffaroni, P., 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics 0813, Faculty of Economics, University of Cambridge.
- E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021.
"Machine Learning and Factor-Based Portfolio Optimization,"
Papers
2107.13866, arXiv.org.
- Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Working Papers 202111, Geary Institute, University College Dublin.
- Manuel Tarrazo & Ricardo Úbeda, 2012. "Minimum-variance versus tangent portfolios – A note," Journal of Asset Management, Palgrave Macmillan, vol. 13(3), pages 186-195, June.
- Ehling, Paul & Ramos, Sofia B., 2006.
"Geographic versus industry diversification: Constraints matter,"
Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 396-416, October.
- Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
- Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 425, European Central Bank.
- Rehman, Mobeen Ur & Asghar, Nadia & Kang, Sang Hoon, 2020. "Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
- Chiou, Wan-Jiun Paul & Lee, Alice C. & Chang, Chiu-Chi A., 2009. "Do investors still benefit from international diversification with investment constraints?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 448-483, May.
More about this item
Keywords
asset classes; blockchain; crypto-currency; CRIX; portfolio investment;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:18:y:2020:i:2:p:280-306.. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sofieea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.