Optimal vs naïve diversification in cryptocurrencies
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Publication:1787995
Recommendations
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- Momentum trading in cryptocurrencies: short-term returns and diversification benefits
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Cites work
- Adaptive market hypothesis and evolving predictability of bitcoin
- An application of extreme value theory to cryptocurrencies
- Model-based pairs trading in the bitcoin markets
- Price clustering in bitcoin
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
Cited in
(14)- Portfolio management with cryptocurrencies: the role of estimation risk
- Dynamic linkages and economic role of leading cryptocurrencies in an emerging market
- Blockchain and cryptocurrencies: economic and financial research
- Diversification benefits in the cryptocurrency market under mild explosivity
- Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space
- Model optimization of cryptocurrency portfolio based on EMD denoising and DCCA methods
- Modelling and filtering for dynamic investment in the precious-metals market
- The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction
- How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
- A Time-Varying Network for Cryptocurrencies
- Momentum trading in cryptocurrencies: short-term returns and diversification benefits
- Cryptocurrencies in institutional investors' portfolios: evidence from industry stop-loss rules
- Does Bitcoin add value to global industry portfolios?
- Technical trading and cryptocurrencies
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