Portfolio diversification across cryptocurrencies

Weiyi Liu

Finance Research Letters, 2019, vol. 29, issue C, 200-205

Abstract: Utilizing the empirical data of ten major cryptocurrencies, this article examines the investablitiy and role of diversification in cryptocurrency market, and evaluates the out-of-sample performance of commonly used asset allocation models across cryptocurrencies. We show that portfolio diversification across different cryptocurrencies can significantly improve the investment results. We also find robust evidence that the maximum utility model dominates the out-of-sample utility, although none of the models can consistently beat the naïve 1/N portfolio in Sharpe ratio.

Keywords: Cryptocurrency; Portfolio diversification; Out-of-sample performance (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (65)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:200-205

DOI: 10.1016/j.frl.2018.07.010

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