Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness

32 Pages Posted: 17 Apr 2023

See all articles by Roberto Serrano

Roberto Serrano

Brown University

Toshiyuki Yamawake

Nagoya University of Commerce and Business

Jiro Hodoshima

Nagoya City University - Department of Economics

Joseph Sheely

Brown University - Department of Economics

Date Written: December 1, 2022

Abstract

We present comparative performance of cryptocurrencies by the performance index based on the Aumann-Serrano –henceforth, AS– economic index of riskiness. We consider three cryptocurrencies: Bitcoin, Ethereum and Binance-coin, which have the largest market capitalizations among all cryptocurrencies. Ethereum is about twice as good as Binance-coin and fourteen times as good as Bitcoin when we evaluate them by the AS performance index. Therefore, Bitcoin is rated quite poorly –much riskier– compared to other cryptocurrencies although it is the most popular and has the largest market capitalization among all the cryptocurrencies. On the other hand, SPY is rated the best –least risky– and much better than the three cryptocurrencies by the AS performance index. The evaluation by the AS performance index contrasts sharply to that made by the Sharpe ratio, performance index contrasts sharply to that made by the Sharpe ratio, according to which the difference among the three cryptocurrencies and SPY is fairly small.

Keywords: Cryptocurrencies, Performance index, Aumann-Serrano index, Multi-period gambles

JEL Classification: G11, C22, C46

Suggested Citation

Working Paper Series, Bravo Center and Serrano, Roberto and Yamawake, Toshiyuki and Hodoshima, Jiro and Sheely, Joseph, Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness (December 1, 2022). Available at SSRN: https://ssrn.com/abstract=4321119 or http://dx.doi.org/10.2139/ssrn.4321119

Roberto Serrano (Contact Author)

Brown University ( email )

64 Waterman Street
Providence, RI 02912
United States
401-863-1036 (Phone)
401-863-1970 (Fax)

Toshiyuki Yamawake

Nagoya University of Commerce and Business

Jiro Hodoshima

Nagoya City University - Department of Economics ( email )

Yamanohata 1, Mizuho-cho, Mizuho-ku
Nagoya, 467-8501
JAPAN
+(81) 52-872-5715 (Phone)
+(81) 52-871-9429 (Fax)

Joseph Sheely

Brown University - Department of Economics

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
41
Abstract Views
345
PlumX Metrics