Looking for the Optimal Cryptocurrency Portfolio: Benefits of Diversification

DOI

10.2991/aebmr.k.210319.101How to use a DOI?

Keywords

Cryptocurrencies, Naïve diversification, Individual cryptocurrency portfolio, Sharpe raito

Abstract

This paper contributes to the literature on cryptocurrencies by examining performance of naïve (1/N) and individual cryptocurrency portfolio of ten largest cryptocurrencies. We employ daily data and two time durations for each type of portfolio. For the investing in individual cryptocurrency portfolio, the first time duration is the full time duration from the earliest day in our data sample. The second time duration is after Covid-19. (after 1st of January 2020). For the naïve portfolio, the first time duration is the same as individual cryptocurrency portfolio. However, the second time duration is when all ten cryptocurrencies are available. (after November 10th 2018) Our result shows that investing in single cryptocurrency portfolio outperforms than naïve portfolio in both time duration. Further research could add the better performing cryptocurrency portfolio to the traditional assets portfolio and examine the performance of the combining portfolio in different time duration.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Tian Chen
PY  - 2021
DA  - 2021/03/22
TI  - Looking for the Optimal Cryptocurrency Portfolio: Benefits of Diversification
BT  - Proceedings of the 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021)
PB  - Atlantis Press
SP  - 552
EP  - 557
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210319.101
DO  - 10.2991/aebmr.k.210319.101
ID  - Chen2021
ER  -