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Optimal vs naïve diversification in cryptocurrencies

Platanakis, E., Sutcliffe, C. and Urquhart, A. (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765

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To link to this item DOI: 10.1016/j.econlet.2018.07.020

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:78105
Publisher:Elsevier

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