Benefits of Sectoral Cryptocurrency Portfolio Optimization

33 Pages Posted: 4 Sep 2020

See all articles by Maria Čuljak

Maria Čuljak

Faculty of Economics and Business

Bojan Tomić

EFFECTUS University College for Law and Finance

Saša Žikovic

Faculty of Economics and Business University of Rijeka

Date Written: May 03, 2020

Abstract

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

Čuljak, Maria and Tomić, Bojan and Žikovic, Saša, Benefits of Sectoral Cryptocurrency Portfolio Optimization (May 03, 2020). Available at SSRN: https://ssrn.com/abstract=3661600 or http://dx.doi.org/10.2139/ssrn.3661600

Maria Čuljak

Faculty of Economics and Business ( email )

Hahlic 6
Rijeka, 51000
Croatia

Bojan Tomić

EFFECTUS University College for Law and Finance ( email )

Saša Žikovic (Contact Author)

Faculty of Economics and Business University of Rijeka ( email )

Ivan Filipovica 4
Rijeka, 51000
Croatia

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