Benefits of sectoral cryptocurrency portfolio optimization

Maria Čuljak, Bojan Tomić and Saša Žiković

Research in International Business and Finance, 2022, vol. 60, issue C

Abstract: When creating a portfolio, investors should consider the dynamics of the income ratio of the selected portfolio asset in order to identify and quantify the investment risk. This research paper formally identifies and describes the benefits of sectoral cryptocurrency classification portfolio optimization and its performance. Six optimization targets will be tested: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. We compare the obtained portfolios with the performance of the CRIX index (representing the crypto market) over the same period. Our results show that five out of six portfolio strategies performed better if they included sectoral cryptocurrencies, namely from financial, exchange and business services sectors.

Keywords: Cryptocurrency; Portfolio optimization; Sectoral classification; Investments (search for similar items in EconPapers)
JEL-codes: E49 G11 P45 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000034

DOI: 10.1016/j.ribaf.2022.101615

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