Cryptocurrencies as an asset class in portfolio optimisation

Holovatiuk, Olha

doi:10.2478/ceej-2020-0004

Cited by 11 publications

(6 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The Dow Jones Real Estate Index (DJUSRE) tracks the performance of real estate investment trusts (REIT), companies, and agencies involved in the real estate sector, either as owners, managers or developers (S&P Global, 2022b). The index covers parts of the US market with large, medium, and small capitalization (Holovatiuk, 2020).…”

Section: Methodsmentioning

confidence: 99%

The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19

Aljinović

Marasović

Milićević

2022

Business Systems Research Journal

View full text Add to dashboard Cite

Background: In making investment decisions, asset risk and return are two crucial criteria on which investors base their decision. Objectives: This paper provides risk and return analysis and compares different traditional and alternative investments with special emphasis on the COVID-19 crisis. Assets included in the analysis are stocks, bonds, commodities, real estate, foreign exchange, cryptocurrencies, renewable energy sources, gold, and oil. Methods/Approach: The risk measures of standard deviation, Value at Risk (VaR), Conditional Value at Risk (CVaR), and Sharpe ratio are used to compare the representatives of each asset class. Results: The crisis had the highest impact on the risk of crude oil, renewable energy sources, real estate, and stocks, a slightly lower impact on the risk of commodities and gold, and a very low impact on the risk of bonds, foreign exchange, and cryptocurrencies. The order of assets regarding earning potential during the crisis, compared to the period before the crisis, changed significantly for commodities in a positive way and for gold and bonds in a negative way. Conclusions: This research shows that stocks won against all other assets, including gold and cryptocurrencies, during the COVID-19 crisis. The good features of a new alternative investment – renewable energy sources – with excellent earning potential are shown.

show abstract

Section: Methodsmentioning

confidence: 99%

The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19

Aljinović

Marasović

Milićević

2022

Business Systems Research Journal

View full text Add to dashboard Cite

show abstract

“…There is an opinion that cryptographic assets do not fully satisfy the conditions to be a currency and that they are more similar to an asset class [24]. White et al [25] claim "that Bitcoin's behaviour more closely resembles.…”

Section: Cryptocurrencies-a Short Overviewmentioning

confidence: 99%

Cryptocurrency Portfolio Selection—A Multicriteria Approach

2021

View full text Add to dashboard Cite

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an approach allows considering a number of variables important for cryptocurrencies rather than limiting them to the commonly employed return and risk. The proposed multiobjective decision making model gives the best cryptocurrency portfolio considering the daily return, standard deviation, value-at-risk, conditional value-at-risk, volume, market capitalization and attractiveness of nine cryptocurrencies from January 2017 to February 2020. The optimal portfolios are calculated at the first of each month by taking the previous 6 months of daily data for the calculations yielding with 32 optimal portfolios in 32 successive months. The out-of-sample performances of the proposed model are compared with five commonly used optimal portfolio models, i.e., naïve portfolio, two mean-variance models (in the middle and at the end of the efficient frontier), maximum Sharpe ratio and the middle of the mean-CVaR (conditional value-at-risk) efficient frontier, based on the average return, standard deviation and VaR (value-at-risk) of the returns in the next 30 days and the return in the next trading day for all portfolios on 32 dates. The proposed model wins against all other models according to all observed indicators, with the winnings spanning from 50% up to 94%, proving the benefits of employing more criteria and the appropriate multicriteria approach in the cryptocurrency portfolio selection process.

show abstract

“…All these rapid developments have worked in favor of cryptocurrencies that have caught the attention of investors who are increasingly considering cryptocurrencies as a new class of financial assets. Holovatiuk (2020) showed that cryptocurrencies satisfied seven asset class requirements (stable aggregation, investability, internal homogeneity, external heterogeneity, expected utility, selection skill, and cost-effective access).…”

Section: Introductionmentioning

confidence: 99%

“…Brauneis and Mestel (2018) were the first to find potential reduction of risk when several crypto-assets were added to a basket of traditional assets. Holovatiuk (2020) showed that cryptocurrencies can be considered as a new investment tool and addressed the question of the benefits that an investor can earn by adding crypto-assets in his portfolio. She proved the diversification advantages provided through incorporating moderate proportions of crypto-assets to a conventional portfolio.…”

Section: Introductionmentioning

confidence: 99%

“…Furthermore, the crypto‐market as a whole is considered as disconnected from external market‐driven shocks. As a consequence, other crypto‐assets can play the role of an alternative diversification channel (Yermack, 2015; Holovatiuk, 2020; Petukhina et al., 2021) or behave as “safe‐havens” during market crisis as argued by Corbet et al. (2019).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Portfolio selection: should investors include crypto‐assets? A multiobjective approach

Youssef

Naoua

Abdelaziz

et al. 2022

Int Trans Operational Res

View full text Add to dashboard Cite

This paper analyzes the diversification benefits of adding alternative crypto-assets in a traditional portfolio, from the perspective of an investor who seeks to achieve multiple objectives. Our analysis is based on daily and weekly return data for eight different assets including Bitcoin, Ethereum, Ripple, for the crypto-assets and NASDAQ, S&P500, Dow-Jones, Crude-Oil, and Gold, for traditional assets. We use both in-sample and out-of-sample estimation procedures to analyze these data sets. We apply the weighted sum of deviations goal programming method to solve a bi-objective optimization problem where investors optimize simultaneously portfolio risk and return. For a variety of investor characteristics, ranging from risk-seeking to risk-averse, we show that augmenting portfolios with alternative crypto-currencies improves portfolio performance and the efficiency frontier, compared to standard portfolios. This improvement is even more observable for riskseeking investors, for both in-sample and out-of-sample estimation procedures.

show abstract

Cryptocurrencies as an asset class in portfolio optimisation

Cited by 11 publications

References 26 publications

The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19

The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19

Cryptocurrency Portfolio Selection—A Multicriteria Approach

Portfolio selection: should investors include crypto‐assets? A multiobjective approach

Contact Info

Product

Resources

About