IDEAS home Printed from https://ideas.repec.org/a/taf/macfem/v14y2021i3p291-307.html
   My bibliography  Save this article

Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation

Author

Listed:
  • Ashis Kumar Pradhan
  • Ishan Mittal
  • Aviral Kumar Tiwari

Abstract

In this paper, we utilize the conditional value-at-risk to quantify the risk exposure and the generalized Pareto distribution copula technique to analyse extreme events which helps in finding out the efficient portfolio selection. The sample data covers nine cryptocurrencies covering the period from September 2016 to August 2018. Our results using the efficient frontier indicate that if a minimum variance portfolio is constructed using chosen cryptocurrencies, investment in Bitcoin is preferred being the least risky currency on the bottom of the efficient frontier. These results find prime importance for investors and risk managers.

Suggested Citation

  • Ashis Kumar Pradhan & Ishan Mittal & Aviral Kumar Tiwari, 2021. "Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 14(3), pages 291-307, September.
    • Handle: RePEc:taf:macfem:v:14:y:2021:i:3:p:291-307
    DOI: 10.1080/17520843.2021.1909828
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17520843.2021.1909828
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17520843.2021.1909828?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.
    2. Aljinović Zdravka & Marasović Branka & Milićević Tea Kalinić, 2022. "The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19," Business Systems Research, Sciendo, vol. 13(3), pages 8-22, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:taf:macfem:v:14:y:2021:i:3:p:291-307. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REME20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.