Managing a Crypto-Currency Portfolio Via Minmax Drawdown Control
14 Pages Posted: 24 May 2018 Last revised: 1 Jun 2018
Date Written: May 15, 2018
Crypto-currencies and other innovative asset classes present a fundamental challenge for quantitative asset-allocation. Because the track record of innovative assets is by definition short, it is difficult to form reliable estimates of expected returns and covariance matrices needed as inputs for standard portfolio optimization. Even if such estimates are available, they may be useless to investors if the behavior of underlying assets changes over time. Building on the MinMax Drawdown Control framework of Chassang (2018), this paper proposes a conceptually attractive and empirically successful approach to build benchmark portfolios of crypto-currencies and other innovative assets.
Keywords: Crypto-Currencies, MinMax Drawdown Control, Prior-Free Asset Allocation, Agnostic Asset Allocation, Innovative Assets
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