Managing a Crypto-Currency Portfolio Via Minmax Drawdown Control

14 Pages Posted: 24 May 2018 Last revised: 1 Jun 2018

See all articles by Sylvain Chassang

Sylvain Chassang

New York University (NYU) - Department of Economics

Alice Wang

Independent

Date Written: May 15, 2018

Abstract

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

Suggested Citation

Chassang, Sylvain and Wang, Alice, Managing a Crypto-Currency Portfolio Via Minmax Drawdown Control (May 15, 2018). Available at SSRN: https://ssrn.com/abstract=3179215 or http://dx.doi.org/10.2139/ssrn.3179215

Sylvain Chassang (Contact Author)

New York University (NYU) - Department of Economics ( email )

19 West 4th Street
New York, NY 10012
United States

Alice Wang

Independent ( email )

No Address Available

Register to save articles to
your library

Register

Paper statistics

Downloads
348
rank
83,504
Abstract Views
1,264
PlumX Metrics