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.
- Optimal diversification
- Naïve diversification
- Portfolio optimization
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Business, Management and Accounting(all)
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- Management - Senior Lecturer (Associate Professor)
- Accounting, Finance & Law
- Centre for Governance, Regulation and Industrial Strategy
Person: Research & Teaching