Abstract
This paper contributes to the literature on cryptocurrencies by examining the performance of naïve (1/N) and optimal (Markowitz) diversification in a portfolio of four popular cryptocurrencies. We employ weekly data with weekly rebalancing and show there is very little to select between naïve diversification and optimal diversification. Our results hold for different levels of risk-aversion and an alternative estimation window.
| Original language | English |
|---|---|
| Pages (from-to) | 93-96 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 171 |
| Early online date | 21 Jul 2018 |
| DOIs | |
| Publication status | Published - 1 Oct 2018 |
Keywords
- Cryptocurrencies
- Optimal diversification
- Naïve diversification
- Portfolio optimization
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Business, Management and Accounting(all)
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Emmanouil Platanakis
- Management - Senior Lecturer (Associate Professor)
- Accounting, Finance & Law
Person: Research & Teaching