Optimal vs Naïve Diversification in Cryptocurrencies

Emmanouil Platanakis, Charles Sutcliffe, Andrew Urquhart

Research output: Contribution to journalArticle

29 Citations (Scopus)
20 Downloads (Pure)

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 languageEnglish
Pages (from-to)93-96
Number of pages4
JournalEconomics Letters
Volume171
Early online date21 Jul 2018
DOIs
Publication statusPublished - 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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