LEGO - The Toy of Smart Investors

Dobrynskaya, Victoria; Kishilova, Julia

doi:10.2139/ssrn.3291456

Cited by 9 publications

(19 citation statements)

References 19 publications

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“…Especially the latter one is very interesting, as a recent study showed that Lego has, at least partially, very nice properties for a portfolio. These properties are good returns compared to stock markets and low correlation to it at the same time, see Dobrynskaya and Kishilova (2018). However, for all of the above mentioned, the limitation was lacking liquidity and lacking data which are the reasons that they are not included in this paper.…”

Section: Resultsmentioning

confidence: 99%

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Petukhina

Sprünken

2020

SSRN Journal

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Section: Resultsmentioning

confidence: 99%

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Petukhina

Sprünken

2020

SSRN Journal

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“…The latter one is especially fascinating, as a recent study showed that Lego has, at least partially, very nice properties for a portfolio. These properties are good returns compared to stock markets and low correlation to it simultaneously, see Dobrynskaya and Kishilova (2018). Furthermore, financial instruments such as options, warrants and futures could be considered too.…”

Section: Discussionmentioning

confidence: 99%

Evaluation of multi-asset investment strategies with digital assets

Petukhina

Sprünken

2021

Digit Finance

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The drastic growth of the cryptocurrencies market capitalization boosts investigation of their diversification benefits in portfolio construction. In this paper with a set of classical and modern measurement tools, we assess the out-of-sample performance of eight portfolio allocation strategies relative to the naive 1/N rule applied to traditional and crypto-assets investment universe. Evaluated strategies include a range from classical Markowitz rule to the recently introduced LIBRO approach (Trimborn et al. in Journal of Financial Econometrics 1–27, 2019). Furthermore, we also compare three extensions for strategies with respect to input estimators applied. The results show that in the presence of alternative assets, such as cryptocurrencies, mean–variance strategies underperform the benchmark portfolio. In contrast, CVaR optimization tends to outperform the benchmark as well as geometric optimization, although we find a strong dependence of the former’s success on trading costs. Furthermore, we find evidence that liquidity-bounded strategies tend to perform very well. Thus, our findings underscore the non-normal distribution of returns and the necessity to control for liquidity constraints at alternative asset markets.

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“…Every day, the results of auctions also provide examples of this phenomenon. Even trivial goods released in large quantities are susceptible to become collectibles and to attract collectors (see [Dobr18],[Wu20],). As an illustration, Figure 4 shows the price evolution of six manufactured collectibles as observed on Amazon.…”

Section: Price Patternsmentioning

confidence: 99%

Pricing (Almost) Any Used Goods: A First Step Towards a Theoretical Framework

cianni¹

2020

SSRN Journal

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From the latest technological gadget to the multi-century collectible item, millions of used goods are exchanged on marketplaces every day. Yet, there have been very few attempts to propose a pricing theory that could help buyers and sellers set a price at any point in time. In this paper, we build a robust framework and introduce a cohort-specific model to explain how the price of used goods evolves over time. Despite its simplicity, we believe that this model could be applied to an extensive range of used goods.

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LEGO - The Toy of Smart Investors

Cited by 9 publications

References 19 publications

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Evaluation of multi-asset investment strategies with digital assets

Pricing (Almost) Any Used Goods: A First Step Towards a Theoretical Framework

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