TY - CHAP
T1 - Cryptocurrency Portfolios Using Heuristics
AU - Platanakis, Emmanouil
AU - Sutcliffe, Charles
PY - 2022/11/7
Y1 - 2022/11/7
N2 - Given the support from academic studies for heuristic (naive) asset allocation strategies, this study compares the performance of seven heuristics, including four new heuristics, in forming a portfolio of six popular cryptocurrencies. As many cryptocurrency traders are retail investors, they are likely to use heuristics, rather than sophisticated optimization procedures. Our empirical analysis shows little difference in the out-of-sample performance of these seven strategies, indicating that it does not matter which heuristic is used by cryptocurrency investors. Therefore retail investors might as well use the simplest heuristic (1/N) strategy, whose performance has been widely studied and found to be comparable with that of portfolio optimization models.
AB - Given the support from academic studies for heuristic (naive) asset allocation strategies, this study compares the performance of seven heuristics, including four new heuristics, in forming a portfolio of six popular cryptocurrencies. As many cryptocurrency traders are retail investors, they are likely to use heuristics, rather than sophisticated optimization procedures. Our empirical analysis shows little difference in the out-of-sample performance of these seven strategies, indicating that it does not matter which heuristic is used by cryptocurrency investors. Therefore retail investors might as well use the simplest heuristic (1/N) strategy, whose performance has been widely studied and found to be comparable with that of portfolio optimization models.
KW - Cryptocurrencies
KW - Heuristic Asset Allocation Strategies
KW - Portfolio Management
M3 - Chapter or section
T3 - Lecture Notes in Operations Research
SP - 1
EP - 16
BT - Essays in Financial Analytics.
A2 - Pascal, Alphonse
A2 - Karima, Bouaiss
A2 - Pascal, Grandin
A2 - Zopounidis, Constantin
PB - Springer
ER -