- Tytuł:
- Cryptocurrencies as an asset class in portfolio optimisation
- Autorzy:
- Holovatiuk, Olha
- Powiązania:
- https://bibliotekanauki.pl/articles/1356273.pdf
- Data publikacji:
- 2020-09-09
- Wydawca:
- Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
- Tematy:
-
cryptocurrencies
blockchain technology
asset class
portfolio optimisation
Modern Portfolio Theory
Post-Modern Portfolio Theory - Opis:
- In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor’s portfolio. We used 6 indices as proxies for the major asset classes, including the cryptocurrency index CRIX, for all cryptographic assets. Cryptocurrencies relatively fully satisfied 7 asset class requirements, namely stable aggregation, investability, internal homogeneity, external heterogeneity, expected utility, selection skill and cost-effective access. It was found that crypto assets have diversification properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios with the inclusion of CRIX. However, the Post-Modern Portfolio Theory identified significant deterioration of the downside risk and the Sortino ratio.
- Źródło:
-
Central European Economic Journal; 2020, 7, 54; 33 - 55
2543-6821 - Pojawia się w:
- Central European Economic Journal
- Dostawca treści:
- Biblioteka Nauki
Artykuł