Search or ask a question

How does the performance of different types of cryptocurrency portfolios compare over time?

Efficient frontier

Gumbel distribution

Best insight from top research papers

The performance of various cryptocurrency portfolios has been extensively studied using different models and approaches. Studies have shown that incorporating more cryptocurrencies in a portfolio reduces diversification risk and volatility while potentially increasing returns . Additionally, deep neural network models like MLP have been found to outperform traditional models like GARCH in predicting cryptocurrency volatility, with MLP models offering the best predictive results . A multi-criteria approach based on PROMETHEE II has been proposed for cryptocurrency portfolio selection, considering variables beyond just return and risk, resulting in optimal portfolios outperforming other commonly used models . Furthermore, a comparison of portfolio optimization techniques like CVaR and Robust MVO showed that a CVaR approach with GARCH simulation and decision tree prediction models yielded portfolios of similar risk, highlighting the importance of the optimization approach in portfolio performance .

Answers from top 4 papers

PDF

Open Access

More filters

Papers (4)	Insight
Journal Article•DOI Portfolio Optimization Techniques for Cryptocurrencies Samuel Gaskin, Rafay Kalim, Kelvin J. Wallace, David Islip, Roy H. Kwon, Jim Kyung-Soo Liew - Show less +5 more 16 Feb 2023-The Journal of Investing	The study compares CVaR and Robust MVO optimization techniques for cryptocurrency portfolios over time, showing similar risk outcomes with a CVaR approach using GARCH simulation and decision tree prediction model.
Open access•Journal Article•DOI LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios Andrés García-Medina, Ester Aguayo-Moreno - Show less +1 more 14 Mar 2023-Computational Economics	Different cryptocurrency portfolios' performance varied over time, with MLP models showing superior predictive results, leading to diversified portfolios post-pandemic declaration.
Open access•Journal Article•DOI Cryptocurrency Portfolio Selection—A Multicriteria Approach Zdravka Aljinović, Branka Marasović, Tea Šestanović - Show less +2 more 16 Jul 2021 16 Citations	The multicriteria approach outperforms other models in cryptocurrency portfolio selection over 32 months, showing superiority in returns, risk, and value-at-risk compared to traditional methods.
Journal Article•DOI Score-driven cryptocurrency and equity portfolios Szabolcs Blazsek, Richard C. Bowen - Show less +1 more 22 Feb 2023-Applied Economics	Score-driven cryptocurrency portfolios outperform classical volatility model-based portfolios and equity portfolios over time, providing insights for cryptocurrency investors on portfolio optimization.

My columns

Related Questions

What are differences between cryptocurrency investors and traditional investors?4 answersCryptocurrency investors differ from traditional investors in various aspects. Cryptocurrency trading can exhibit pathological and gambling-like behaviors due to its high volatility and speculative nature, with a significant portion of traders showing impulsivity and potential addiction traits. In contrast, traditional investors face cognitive constraints when choosing optimal portfolios, often resorting to mental shortcuts due to the overwhelming number of asset combinations. Institutional investments play a crucial role in the cryptocurrency market's evolution, with market capitalization highly correlated to institutional investment size, indicating their significant influence. Additionally, while traditional investors focus on established markets like mutual funds and stocks, cryptocurrency investors navigate a newer and more volatile market, requiring different strategies and risk management approaches.

What factors influence the potential return on investment for cryptocurrencies?5 answersCryptocurrency returns are influenced by various factors. Trading Volume and Price Volatility significantly and positively impact Cryptocurrency Returns, advising investors to choose assets with high trading volume and volatility for potentially higher returns. Macroeconomic fundamentals play a role in long-term returns, with common factors strongly linked to expected returns, contrasting short-term relationships. Financial literacy, herding behavior, and risk perception significantly influence investment decisions in cryptocurrencies, emphasizing the importance of improving financial literacy before investing. Cognitive biases like Herding, Overconfidence, and Representativeness mediate the relationship between socio-psychological factors and investment decisions in cryptocurrencies. Downside market risk, cryptocurrency size, and policy uncertainty are systematically priced with significant premiums, impacting cryptocurrency returns.

How does crypto investments compare to gambling?4 answersInvesting in cryptocurrencies has similarities to gambling. Cryptocurrency trading is influenced by psychological factors and can be addictive, resembling gambling behavior. Frequent cryptocurrency traders often experience gambling-related harm, indicating that users are taking on substantial risks. Pathological trading behavior and impulsivity are observed among cryptocurrency investors, suggesting a gambling-like aspect. The strategies of cryptocurrency trading closely resemble high-risk gambling, with traders' expectations co-moving with expected future payoffs from gambling. Investments in cryptocurrencies have been found to be highly effective but also carry high risk, similar to gambling. Overall, the decentralized and volatile nature of cryptocurrencies, combined with the potential for quick gains and losses, make them comparable to gambling in terms of risk and addictive behavior.

Should Bitcoin be included in portfolios?5 answersBitcoin should be included in portfolios as it has shown potential benefits in terms of improving portfolio performance, generating higher risk-adjusted returns, and enhancing diversification. Adding Bitcoin to a portfolio has been found to improve the return-risk ratios, even though it may increase the Conditional Value-at-Risk (CVaR) of the portfolio. Bitcoin has also been shown to have low correlations with traditional investment assets, making it a valuable addition for diversification purposes. Furthermore, Bitcoin has been found to hedge the risk against industry portfolios and bonds, providing risk management benefits. Overall, the inclusion of Bitcoin in portfolios has the potential to enhance efficiency, improve risk-return profiles, and contribute to the wealth of investors.

Portfolio with Bitcoin?4 answersIncluding Bitcoin in a portfolio can provide diversification benefits and improve financial performance. Research shows that Bitcoin can be justified as a part of an institutional investor's portfolio, with a recommended share of around 6%. The inclusion of Bitcoin in a broad commodity trading portfolio has been found to achieve better financial performance compared to traditional asset allocation strategies. Bitcoin can also serve as a hedge against industry portfolios and bonds, reducing risk in a portfolio. Including Bitcoin in a traditional benchmark portfolio of stocks and bonds has been shown to generate substantially higher risk-adjusted returns. Additionally, hedging strategies involving Bitcoin, gold, oil, and equities can significantly reduce portfolio risk. Overall, the research suggests that including Bitcoin in a portfolio can provide diversification benefits and improve risk-adjusted returns.

Best cryptocurrency to invest in?5 answersCryptocurrencies have been extensively researched, but there is no consensus on the best cryptocurrency to invest in. Traditional investment styles do not appear to be successful in this asset class, and cryptocurrencies are independent from the macroeconomic environment. However, some cryptocurrencies have shown hedging and safe-haven properties against down movements in the S&P 500 and its equity sectors. Bitcoin, Ripple, and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggregate US equity index and selected sectors. Principal components analysis reveals a complex return generating process for cryptocurrencies, and predicting cryptocurrency movements with machine learning algorithms is marginally attractive. Factors such as hash rate, difficulty, market capitalization, and daily coins mined can determine cryptocurrency prices. In the GCC region, most respondents have heard about cryptocurrencies but do not own them, and investing in cryptocurrency is seen as riskier and less profitable than the stock market.

See what other people are reading

What is the endogenous phosphate sensor in plants?

In plants, the endogenous phosphate sensor is a genetically encoded fluorescent sensor called ATeam1.03-nD/nA. This sensor is designed based on the Forster resonance energy transfer (FRET) mechanism and consists of cyan fluorescent protein (mseCFP) and yellow fluorescent protein (Venus) connected by the ε-subunit of ATP synthase. ATeam1.03-nD/nA detects extracellular ATP (eATP) levels in living plant tissues by measuring changes in FRET ratio, reflecting ATP concentrations. This sensor allows noninvasive monitoring of eATP levels in response to various physiological conditions, such as stress or external ATP application, providing valuable insights into plant signaling and responses to environmental cues.What is stackable credentials for employees? layman's term?

Stackable credentials are like building blocks for your career. Imagine you're playing a video game where each level you beat earns you a new skill or tool that helps you progress further. In the real world, stackable credentials work similarly for employees. They are a series of educational achievements or certificates that you can collect over time. Each one builds on the others, helping you advance in your career, learn new skills, and potentially earn more money. These credentials are especially useful in today's job market, where technology and job requirements are constantly changing. They offer a way for workers to keep up with these changes, adding new skills to their repertoire without necessarily going back to school for a full degree. This approach is particularly beneficial for middle-skill workers, those who have some college education but not a four-year degree, as it can enhance their labor market prospects. For low-income students or workers, stackable credentials can be a game-changer, offering a pathway to better jobs and higher earnings, often tailored to their needs and financial situations. These credentials are not just about collecting certificates; they're about making strategic choices that align with career goals and market demands. Colleges and universities are adapting to this trend by offering more short-term, stackable programs. These programs are designed to be more accessible to nontraditional students, such as those who are working adults, and to increase the number of credentials awarded. In fields like healthcare, where ongoing professional development is crucial, stackable credentials offer a flexible pathway to advancement and specialization. Innovative partnerships between educational institutions are also emerging to meet the demand for skilled workers in specific industries, such as robotics and mechatronics, by creating clear pathways from certificates to degrees. This approach not only benefits students but also meets employer demand for qualified graduates ready to enter the workforce.How to measure blood flow using blood pressure?

Blood flow can be measured using blood pressure through various methods. One approach involves utilizing devices with a wave source and detectors positioned along a blood vessel to induce pressure waves in the blood flow, with the time difference between detectors indicating blood flow velocity. Another method combines blood flow and blood pressure measurements for calculating central vascular parameters, using Doppler ultrasound probes and pressure transducers at different arterial sites. Additionally, noninvasive techniques like cuff-based mercury sphygmomanometry and pulsed wave-Doppler ultrasound are employed to measure arterial pressure and flow, with calibration often done using cuff-based oscillometric blood pressure readings. Furthermore, advanced technologies like laser Doppler methods are utilized to calculate blood flow speed and derive blood pressure index values based on blood flow acceleration. These diverse approaches provide insights into blood flow dynamics and cardiovascular health.How does interlayer modification thin film composite membrane effect the forward osmosis performance?

Interlayer modification of thin film composite (TFC) membranes significantly impacts forward osmosis (FO) performance. Studies have shown that incorporating materials like MXene nano-sheets, titanium dioxide nanoparticles, and a mix of graphene oxide, dopamine, and humic acidinto the TFC membranes enhances their properties. These modifications lead to improved membrane characteristics such as increased hydrophilicity, reduced mass transfer resistance, and optimized water flux while maintaining low reverse solute flux. The modified membranes exhibit better osmotic separation, reduced internal concentration polarization, and enhanced membrane performance overall. By altering the structural and chemical properties of the active selective layer, interlayer modifications play a crucial role in enhancing the efficiency and effectiveness of FO processes.How does the level of experienced regret affect an individual's willingness to donate to charity?

Experienced regret significantly influences an individual's willingness to donate to charity. Research indicates that experienced regret negatively impacts donation willingness through the mediating effect of anticipated regret. Moreover, individuals who experience regret demonstrate a lower discount rate in intertemporal pro-social behavior, leading to increased future altruism and generosity, particularly at certain time delays. Additionally, minimizing the probability of regret is a crucial motivational factor in decision-making, with individuals generally preferring options that reduce the likelihood of regret, especially when outcomes are mostly gains and losses are occasional. Overall, the level of experienced regret plays a vital role in shaping donation behavior and decision-making processes related to charitable giving.What is the definition of home numeracy environment?

The home numeracy environment (HNE) refers to the mathematical experiences and practices that children encounter at home, which significantly impact their mathematical development. It encompasses a wide range of activities, including formal numeracy practices, parental involvement in digital math exploration, and interactions surrounding numerical activities. The HNE plays a crucial role in shaping children's mathematical skills by providing opportunities for learning, practice, and reinforcement of math concepts. Factors such as the frequency, type, and difficulty of numeracy activities, as well as parental expectations and involvement, contribute to the effectiveness of the HNE in promoting children's mathematical understanding and proficiency.How to calculate limit of detection of electrochemical sensor?

To calculate the limit of detection (LOD) of an electrochemical sensor, various methods can be employed based on different principles. One approach involves utilizing a probabilistic method recommended by IUPAC, which considers false-positive and false-negative rates for nonlinear sensors like ion-selective electrodes (ISEs). Another method involves determining the LOD using the confidence limits of a regression straight line on the linear portion of the calibration curve of a biosensor, which accounts for response variability at analyte additions. Additionally, the LOD can be calculated from a calibration curve using a statistical model implemented into a spreadsheet program, comparing it with the commonly used LOD definition based on sensitivity and theoretical instrument resolution. These methods provide reliable ways to estimate the LOD of electrochemical sensors with different levels of complexity and accuracy.Why are young Filipinos cooking less frequently during christmas season?

Young Filipinos are cooking less frequently during the Christmas season due to various factors. Firstly, the erasure of the concept of the 'public kitchen' in the Philippines reflects a suppression of marginal identities, potentially impacting traditional cooking practices during festive seasons. Additionally, Filipino youth face challenges in educational and employment trajectories, influenced by family resources, networks, and constructions of "Filipino-ness," which may limit their time and motivation for cooking during the holidays. Moreover, the phenomenon of istambay, where Filipino youth experience inactivity due to educational and labor market issues, could contribute to a lack of engagement in cooking activities during Christmas. Furthermore, the rise of digital media consumption among Filipino youth may lead to decreased focus on traditional cooking practices, affecting their involvement in preparing holiday meals.How a brand's design influences feelings and behaviours?

A brand's design significantly influences consumer emotions and behaviors. Emotional design, which aims to evoke emotions through design, plays a crucial role in creating pleasant user experiences. Incorporating emotional experiences into brand design can influence consumer decisions and generate purchase behavior. Design elements such as aesthetics, functionality, and symbolism impact consumer emotions, which in turn affect purchase intention and word-of-mouth behavior. The use of color design tools can also have a psycho-emotional impact on consumers, influencing perceptions of brand images and personal significance. Overall, by understanding how design evokes emotions and influences behaviors, brands can strategically design products and experiences to resonate with consumers, ultimately driving purchase decisions and brand loyalty.What is salmonelosis?

Salmonelosis is an infection caused by Salmonella bacteria, primarily transmitted through contaminated food. The disease can lead to severe enteritis, systemic infection, and even death, especially in cases of inadequate food hygiene. Symptoms include abdominal pain, fever, and gastrointestinal issues. Salmonella adheres to the host's intestines, replicates, and causes harm, with potential complications like abscesses. Treatment involves antibiotics for enteric fever cases, while prevention through improved food safety measures is crucial due to asymptomatic cases. Research indicates that fructans from Agave plants may modulate the immune response, potentially aiding in controlling Salmonella infection. Overall, salmonelosis poses significant public health challenges, emphasizing the importance of preventive strategies and continuous research efforts.How to improve the process of self-exclusion, such as accessing/registering, referrals for support, returning after self-exclusion.?

To enhance the self-exclusion process, several key improvements can be implemented. Firstly, increasing awareness, publicity, and availability of self-exclusion programsis crucial. Staff training should be enhanced to ensure effective implementation. Off-site venue exclusion and technology-assisted monitoring can also strengthen the process. Additionally, adopting more holistic management approaches to gambling disorders in general is essential for comprehensive support. Programs should be actively promoted, simple to implement, and administered by well-trained staff. Furthermore, investing in resources and technology for enforcement, along with robust evaluation and specific regulatory expectations, can further enhance the effectiveness of self-exclusion protocols. Exploring the feasibility of multi-operator self-exclusion schemes (MOSES) is also recommended for future improvements.