The role of cryptocurrencies in the portfolio optimization during the Covid-19 pandemic (CROSBI ID 707724)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Bilka, Matúš ; Aljinović, Zdravka
engleski
The role of cryptocurrencies in the portfolio optimization during the Covid-19 pandemic
The performance and diversification benefits of the cryptocurrencies during the economic downturn are yet to be explored. Previous evidence suggests that cryptocurrencies are effective portfolio diversifiers in normal times. This paper assesses risk-return profile of the portfolios with and without currencies, using the CVaR optimization. We used daily data from 1.1.2020 to 15.3.2021 on the ten cryptocurrencies and traditional assets and constructed efficient frontiers for the portfolios in question. Our results suggest that cryptocurrencies, even if only naively diversified, improved the risk-return performance of the portfolio during the pandemic.
cryptocurrencies ; portfolio diversification ; conditional value at risk (CVaR) ; efficient frontier ; risk-return profile
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
Podaci o prilogu
255-261.
2021.
objavljeno
Podaci o matičnoj publikaciji
SOR '21 proceedings : the 16th International Symposium on Operational Research in Slovenia
Drobne, S. ; Zadnik Stirn, Lidija ; Kljajić Borštnar, Mirjana. ; Povh, Janez ; Žerovnik, Janez
Ljubljana: Slovensko društvo informatika
978-961-6165-57-0
Podaci o skupu
16th International Symposium on Operations Research in Slovenia (SOR '21)
predavanje
22.09.2021-24.09.2021
Bled, Slovenija