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Optimal vs naïve diversification in cryptocurrencies

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Platanakis, E., Sutcliffe, C. orcid id iconORCID: https://orcid.org/0000-0003-0187-487X and Urquhart, A. orcid id iconORCID: https://orcid.org/0000-0001-8834-4243 (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765 doi: 10.1016/j.econlet.2018.07.020

Abstract/Summary

This paper contributes to the literature on cryptocurrencies by examining the performance of naïve (1/N) and optimal (Markowitz) diversification in a portfolio of four popular cryptocurrencies. We employ weekly data with weekly rebalancing and show there is very little to select between naïve diversification and optimal diversification. Our results hold for different levels of risk-aversion and an alternative estimation window.

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/78105
Identification Number/DOI 10.1016/j.econlet.2018.07.020
Refereed Yes
Divisions Henley Business School > Finance and Accounting
Publisher Elsevier
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