Cryptocurrency Portfolios Using Heuristics

Emmanouil Platanakis, Charles Sutcliffe

Research output: Chapter or section in a book/report/conference proceedingChapter or section

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Abstract

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.
Original languageEnglish
Title of host publication Essays in Financial Analytics.
EditorsAlphonse Pascal, Bouaiss Karima, Grandin Pascal, Constantin Zopounidis
PublisherSpringer
Pages1-16
Publication statusAcceptance date - 7 Nov 2022

Publication series

NameLecture Notes in Operations Research
PublisherSpringer
ISSN (Print)2731-040X
ISSN (Electronic)2731-0418

Keywords

  • Cryptocurrencies
  • Heuristic Asset Allocation Strategies
  • Portfolio Management

ASJC Scopus subject areas

  • Finance
  • General Economics,Econometrics and Finance

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