Stress testing diversified portfolios: the case of the CoinShares gold and cryptoassets index

DOI10.1007/978-3-030-53356-4_4MaRDI QIDQ5147160zbMATH OpenOpenAlexFDO

Authors Aikaterini Koutsouri, Michael Petch, William J. Knottenbelt

Publication date 2 February 2021

Published in Mathematical Research for Blockchain Economy (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/85628

zbMATH Keywords

cryptoassetsgoldindexrisk modellingstress testing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Optimal portfolios with stress analysis and the effect of a CVaR constraint
• Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space
• Portfolio management with cryptocurrencies: the role of estimation risk
• A financially justifiable and practically implementable approach to coherent stress testing
• Computational issues in stress testing

Cites work

• Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space
• Empirical properties of asset returns: stylized facts and statistical issues
• Goodness-of-fit tests for copulas: A review and a power study
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(2)

• Portfolio stress testing applied to commodity futures
• Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space

Describes a project that uses

Uses Software

• QRM

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