Naslov
The role of cryptocurrencies in the portfolio optimization during the Covid-19 pandemic

Autori
Bilka, Matúš ; Aljinović, Zdravka

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
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, 2021, 255-261

ISBN
978-961-6165-57-0

Skup
16th International Symposium on Operations Research in Slovenia (SOR '21)

Mjesto i datum
Bled, Slovenija, 22.09.2021. - 24.09.2021

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
cryptocurrencies ; portfolio diversification ; conditional value at risk (CVaR) ; efficient frontier ; risk-return profile

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA