 Management of investment hybrid portfolioPetro Hrytsiuk, Tetiana Babych and Oksana Kardash International Journal of Business Performance Management, 2021, vol. 22, issue 2/3, 180-198 Abstract: This research is devoted to the investment portfolio management. In the paper, we analysed the daily returns of the six most popular and profitable cryptocurrencies. To manage the risk, it is proposed to create a 'hybrid' portfolio by including stocks of one or two stable companies in the cryptocurrency portfolio. It is shown that the asset returns are not normally distributed, but with good precision follow the Cauchy distribution and the Laplace one. The risk assessments were derived by analytical expressions for the Cauchy and Laplace distribution functions respectively, using VaR technique. According to the correlation matrix between the cryptocurrencies returns and stocks returns, four investment portfolios were examined. The research has shown that the highest investment efficiency can be achieved by adding stocks to the cryptocurrency portfolio. The study of new statistics has made it possible to assess the impact of economic crisis on the return and risk of investment assets. Keywords: cryptocurrency portfolio; hybrid portfolio; portfolio management; cryptocurrency return; stock return; risk measure; economic crisis; distribution. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbpma:v:22:y:2021:i:2/3:p:180-198 Access Statistics for this article More articles in International Journal of Business Performance Management from Inderscience Enterprises Ltd |
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