Cryptocurrency-Portfolios in a Mean-Variance Framework

12 Pages Posted: 27 Feb 2018

Date Written: February 16, 2018


By the end of 2017, 27 cryptocurrencies topped a market capitalization of one billion USD. Bitcoin is still shaping market and media coverage, however, recently we faced a vibrant rise of other currencies. As a result, 2017 has also witnessed the advent of a large number of cryptocurrency-funds. In this paper, we use Markowitz' mean-variance framework in order to assess risk-return-benefits of cryptocurrency-portfolios. We relate risk and return of different portfolio strategies to single cryptocurrency investments. In an out-of-sample analysis accounting for transaction cost we find that combining cryptocurrencies in a portfolio enriches the set of 'low'-risk cryptocurrency investment opportunities.

Keywords: cryptocurrencies, portfolio optimization, Markowitz, naive diversification

JEL Classification: G11

Suggested Citation

Brauneis, Alexander and Mestel, Roland, Cryptocurrency-Portfolios in a Mean-Variance Framework (February 16, 2018). Available at SSRN: or

Alexander Brauneis (Contact Author)

University of Klagenfurt ( email )

Universitaetsstrasse 65-67
Klagenfurt, 9020
+43 463 2700 4022 (Phone)
+43 463 2700 4092 (Fax)


Roland Mestel

University of Graz ( email )

Institute of Banking and Finance
Universitaetsstrasse 15/F2
A-8010 Graz
+43 316 380 7304 (Phone)
+43 316 380 9580 (Fax)

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