Benefits of Sectoral Cryptocurrency Portfolio Optimization
33 Pages Posted: 4 Sep 2020
Date Written: May 03, 2020
When creating a portfolio, investor should consider the dynamics of the income ratio of the portfolio asset selected in order to identify and quantify the taken risk of the investment. This research paper will formally identify and describe the benefits of sectoral cryptocurrency classification portfolio optimization and it’s performance. Six optimization targets will be formed: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. The formed portfolio is compared with the performance of the CRIX index over the same period. The results suggest that five of the six portfolio strategies performed better if they included cryptocurrencies from financial, exchange and business services sectors.
Keywords: cryptocurrency, portfolio optimization, sectoral classification, investments
JEL Classification: E4, E5, L5
Suggested Citation: Suggested Citation