Portfolio management with cryptocurrencies: The role of estimation risk

Emmanouil Platanakis, Andrew Urquhart

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of cryptocurrencies. We show that the advanced Black-Litterman model with VBCs yields superior out-of-sample risk-adjusted returns as well as lower risks. Our results are robust to the inclusion of transaction costs and short-selling, indicating that sophisticated portfolio techniques that control for estimation errors are preferred when managing cryptocurrency portfolios.
Original languageEnglish
JournalEconomics Letters
Early online date24 Jan 2019
DOIs
Publication statusE-pub ahead of print - 24 Jan 2019

Keywords

  • Cryptocurrencies
  • Estimation errors
  • Portfolio optimization

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Portfolio management with cryptocurrencies: The role of estimation risk. / Platanakis, Emmanouil; Urquhart, Andrew.

In: Economics Letters, 24.01.2019.

Research output: Contribution to journalArticle

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