- Tytuł:
-
Comparison of selected portfolio strategies based on the example of cryptocurrency portfolios
Porównanie wybranych strategii portfelowych na przykładzie portfeli kryptowalut - Autorzy:
- Kądziołka, K.
- Powiązania:
- https://bibliotekanauki.pl/articles/2048990.pdf
- Data publikacji:
- 2021
- Wydawca:
- Akademia Bialska Nauk Stosowanych im. Jana Pawła II w Białej Podlaskiej
- Tematy:
-
cryptocurrency portfolios
hierarchical clustering
Markowitz portfolio
semivariance
conditional value at risk - Opis:
- Subject and purpose of work: The purpose of this work was to compare selected portfolio strategies in terms of return rates in order to answer the question whether the method of determining the weights of the portfolio and reduction of the number of portfolio elements characterized by strong positive correlation of rates of return have an impact on its profitability. Materials and methods: The analysis used publicly available data, selected portfolio methods and hierarchical clustering. Both short- and long-term investment strategies were examined. Results: None of analyzed strategies allows to achieve higher rates of return in any given (arbitrarily selected) period than other analyzed strategies. Portfolios with a reduced number of elements in most cases did make it possible to achieve a higher rate of return than the benchmark portfolios consisting of 15 cyptocurrencies. Conclusions: While making investment decisions, one should bear in mind that the realized rate of return may significantly differ from the expected rate of return of the portfolio, which is only a forecast.
- Źródło:
-
Economic and Regional Studies; 2021, 14, 1; 44-60
2083-3725
2451-182X - Pojawia się w:
- Economic and Regional Studies
- Dostawca treści:
- Biblioteka Nauki
Artykuł