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Optimal vs naïve diversification in cryptocurrencies

Citations

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Cited by:

  1. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
  2. De Pace, Pierangelo & Rao, Jayant, 2023. "Comovement and instability in cryptocurrency markets," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 173-200.
  3. Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
  4. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
  5. Wang, Qiyu & Chong, Terence Tai-Leung, 2021. "Factor pricing of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  6. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
  7. Sercan Demiralay & Selçuk Bayracı, 2021. "Should stock investors include cryptocurrencies in their portfolios after all? Evidence from a conditional diversification benefits measure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6188-6204, October.
  8. Białkowski, Jędrzej, 2020. "Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules," Economics Letters, Elsevier, vol. 191(C).
  9. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
  10. Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan, 2021. "Blockchain and cryptocurrencies: economic and financial research," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 781-787, December.
  11. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
  12. 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).
  13. Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Tavakkoli, Hamid Raza & Rezgui, Hichem, 2024. "Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 37-57.
  14. Paweł Sakowski & Anna Turovtseva, 2020. "Verification of Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework," Working Papers 2020-41, Faculty of Economic Sciences, University of Warsaw.
  15. Elie Bouri & Konstantinos Gkillas & Rangan Gupta, 2020. "Trade uncertainties and the hedging abilities of Bitcoin," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(3), September.
  16. Eross, Andrea & McGroarty, Frank & Urquhart, Andrew & Wolfe, Simon, 2019. "The intraday dynamics of bitcoin," Research in International Business and Finance, Elsevier, vol. 49(C), pages 71-81.
  17. Tomić, Bojan, 2020. "BITCOIN: Systematic Force of Cryptocurrency Portfolio," MPRA Paper 101290, University Library of Munich, Germany, revised 26 May 2020.
  18. Platanakis, Emmanouil & Urquhart, Andrew, 2019. "Portfolio management with cryptocurrencies: The role of estimation risk," Economics Letters, Elsevier, vol. 177(C), pages 76-80.
  19. Colombo, Jefferson A. & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021. "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão 542, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  20. Paweł Sakowski & Daria Turovtseva, 2020. "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers 2020-42, Faculty of Economic Sciences, University of Warsaw.
  21. Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
  22. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  23. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  24. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
  25. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
  26. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
  27. Bouri, Elie & Lucey, Brian & Roubaud, David, 2020. "The volatility surprise of leading cryptocurrencies: Transitory and permanent linkages," Finance Research Letters, Elsevier, vol. 33(C).
  28. Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
  29. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
  30. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  31. Charfeddine, Lanouar & Benlagha, Noureddine & Maouchi, Youcef, 2020. "Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors," Economic Modelling, Elsevier, vol. 85(C), pages 198-217.
  32. Yu, Dejian & Sheng, Libo, 2021. "Influence difference main path analysis: Evidence from DNA and blockchain domain citation networks," Journal of Informetrics, Elsevier, vol. 15(4).
  33. AHMAD TIBRIZI SONI Wicaksono & ARIEF Mufraini & TITIS Miranti & MUHAMMAD KHAERUL Muttaqien, 2023. "Bitcoin Vs Gold: Which One Is The Most Powerful In Boosting The Shariah Equity Index? Global Evidence," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(1), pages 5-36, April.
  34. Yu, Dejian & Pan, Tianxing, 2021. "Tracing the main path of interdisciplinary research considering citation preference: A case from blockchain domain," Journal of Informetrics, Elsevier, vol. 15(2).
  35. Maurice Omane-Adjepong & Imhotep Paul Alagidede, 2020. "Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 537-585, December.
  36. Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023. "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, vol. 29(7), pages 800-825, May.
  37. Čuljak, Maria & Tomić, Bojan & Žiković, Saša, 2022. "Benefits of sectoral cryptocurrency portfolio optimization," Research in International Business and Finance, Elsevier, vol. 60(C).
  38. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
  39. Shahzad, Syed Jawad Hussain & Bouri, Elie & Ahmad, Tanveer & Naeem, Muhammad Abubakr, 2022. "Extreme tail network analysis of cryptocurrencies and trading strategies," Finance Research Letters, Elsevier, vol. 44(C).
  40. Silahli, Baykar & Dingec, Kemal Dincer & Cifter, Atilla & Aydin, Nezir, 2021. "Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
  41. Wei Zhang & Yi Li, 2023. "Liquidity risk and expected cryptocurrency returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 472-492, January.
  42. Shen, Dehua & Urquhart, Andrew & Wang, Pengfei, 2020. "A three-factor pricing model for cryptocurrencies," Finance Research Letters, Elsevier, vol. 34(C).
  43. Bojan Tomiæ & Saša Žikoviæ & Lorena Jovanoviæ, 2022. "Crypto portfolio optimization through lens of tail risk and variance measures," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 40(2), pages 297-312.
  44. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
  45. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
  46. Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
  47. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
  48. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
  49. Vidal-Tomás, David & Ibáñez, Ana M. & Farinós, José E., 2019. "Herding in the cryptocurrency market: CSSD and CSAD approaches," Finance Research Letters, Elsevier, vol. 30(C), pages 181-186.
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