Cryptocurrencies as an Asset Class?

29 Pages Posted:  

Sinan Krueckeberg

University of the German Federal Armed Forces - Helmut Schmidt Universit├Ąt; HSBA Hamburg School of Business Administration

Peter Scholz

Hamburg School of Business Administration

Date Written: April 14, 2018

Abstract

Cryptocurrencies show characteristics of a distinct asset class based on strong internal correlation,
an absence of correlation with any traditional asset class as well as strong market
liquidity, while market stability has room for improvement. We find that for investment purposes
cryptocurrencies can be distinguished into cryptographic coins and tokens. Adding a
1% allocation of cryptocurrencies to traditional portfolio structures leads to significant and
persistent risk weighted outperformance. These results support the careful introduction of
cryptocurrencies into the asset management mainstream.

Keywords: Cryptocurrency, Tokens, Coins, Asset Class, Portfolio Optimization, Asset Management

JEL Classification: G11, G23, E42

Suggested Citation

Krueckeberg, Sinan and Scholz, Peter, Cryptocurrencies as an Asset Class? (April 14, 2018). Available at SSRN: https://ssrn.com/abstract=

Sinan Krueckeberg (Contact Author)

University of the German Federal Armed Forces - Helmut Schmidt Universit├Ąt ( email )

Hamburg
Germany

HOME PAGE: http://www.krueckeberg.us

HSBA Hamburg School of Business Administration ( email )

Germany

Peter Scholz

Hamburg School of Business Administration ( email )

Adolphsplatz 1
Hamburg, 20457
Germany

HOME PAGE: http://think-finance.de

Register to support our free research

Register

Paper statistics

Downloads
6
Abstract Views
51
PlumX