| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7348544 | Economics Letters | 2018 | 4 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Emmanouil Platanakis, Charles Sutcliffe, Andrew Urquhart,