Pregled bibliografske jedinice broj: 1183224
Benefits of sectoral cryptocurrency portfolio optimization
Benefits of sectoral cryptocurrency portfolio optimization // Research in international business and finance, 60 (2022), 101615, 7 doi:10.1016/j.ribaf.2022.101615 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1183224 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Benefits of sectoral cryptocurrency portfolio
optimization
Autori
Čuljak, Maria ; Tomić, Bojan ; Žiković, Saša
Izvornik
Research in international business and finance (0275-5319) 60
(2022);
101615, 7
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Cryptocurrency ; Portfolio optimization ; Sectoral classification ; Investments
Sažetak
When creating a portfolio, investors should consider the dynamics of the income ratio of the selected portfolio asset in order to identify and quantify the investment risk. This research paper formally identifies and describes the benefits of sectoral cryptocurrency classification portfolio optimization and its performance. Six optimization targets will be tested: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. We compare the obtained portfolios with the performance of the CRIX index (representing the crypto market) over the same period. Our results show that five out of six portfolio strategies performed better if they included sectoral cryptocurrencies, namely from financial, exchange and business services sectors.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Ustanove:
Ekonomski fakultet, Rijeka,
EFFECTUS veleučilište
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Social Science Citation Index (SSCI)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
- EconLit
