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Pregled bibliografske jedinice broj: 1183224

Benefits of sectoral cryptocurrency portfolio optimization


Čuljak, Maria; Tomić, Bojan; Žiković, Saša
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

Profili:

Avatar Url Saša Žiković (autor)

Avatar Url Bojan Tomić (autor)

Poveznice na cjeloviti tekst rada:

doi www.sciencedirect.com

Citiraj ovu publikaciju:

Čuljak, Maria; Tomić, Bojan; Žiković, Saša
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)
Čuljak, M., Tomić, B. & Žiković, S. (2022) Benefits of sectoral cryptocurrency portfolio optimization. Research in international business and finance, 60, 101615, 7 doi:10.1016/j.ribaf.2022.101615.
@article{article, author = {\v{C}uljak, Maria and Tomi\'{c}, Bojan and \v{Z}ikovi\'{c}, Sa\v{s}a}, year = {2022}, pages = {7}, DOI = {10.1016/j.ribaf.2022.101615}, chapter = {101615}, keywords = {Cryptocurrency, Portfolio optimization, Sectoral classification, Investments}, journal = {Research in international business and finance}, doi = {10.1016/j.ribaf.2022.101615}, volume = {60}, issn = {0275-5319}, title = {Benefits of sectoral cryptocurrency portfolio optimization}, keyword = {Cryptocurrency, Portfolio optimization, Sectoral classification, Investments}, chapternumber = {101615} }
@article{article, author = {\v{C}uljak, Maria and Tomi\'{c}, Bojan and \v{Z}ikovi\'{c}, Sa\v{s}a}, year = {2022}, pages = {7}, DOI = {10.1016/j.ribaf.2022.101615}, chapter = {101615}, keywords = {Cryptocurrency, Portfolio optimization, Sectoral classification, Investments}, journal = {Research in international business and finance}, doi = {10.1016/j.ribaf.2022.101615}, volume = {60}, issn = {0275-5319}, title = {Benefits of sectoral cryptocurrency portfolio optimization}, keyword = {Cryptocurrency, Portfolio optimization, Sectoral classification, Investments}, chapternumber = {101615} }

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


Citati:





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