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Optimal vs naïve diversification in cryptocurrencies

Optimal vs naïve diversification in cryptocurrencies
Optimal vs naïve diversification in cryptocurrencies
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.
0165-1765
93-96
Platanakis, Emmanouil
4662a112-380a-49d4-b7b9-3eb206dc4544
Sutcliffe, Charles
1a8ec184-d880-492f-8714-7312c6884105
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03
Platanakis, Emmanouil
4662a112-380a-49d4-b7b9-3eb206dc4544
Sutcliffe, Charles
1a8ec184-d880-492f-8714-7312c6884105
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03

Platanakis, Emmanouil, Sutcliffe, Charles and Urquhart, Andrew (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171, 93-96. (doi:10.1016/j.econlet.2018.07.020).

Record type: Article

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.

Text
Optimal vs Naive Diversificationin Cryptocurrencies - Accepted Manuscript
Available under License Creative Commons Attribution Non-commercial No Derivatives.
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More information

Accepted/In Press date: 11 July 2018
e-pub ahead of print date: 21 July 2018
Published date: October 2018

Identifiers

Local EPrints ID: 422178
URI: http://eprints.soton.ac.uk/id/eprint/422178
DOI: doi:10.1016/j.econlet.2018.07.020
ISSN: 0165-1765
PURE UUID: 968c5118-e49c-410e-82e7-3d65fb0816c2
ORCID for Andrew Urquhart: ORCID iD orcid.org/0000-0001-8834-4243

Catalogue record

Date deposited: 18 Jul 2018 16:30
Last modified: 16 Mar 2024 06:50

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Contributors

Author: Emmanouil Platanakis
Author: Charles Sutcliffe
Author: Andrew Urquhart ORCID iD

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