Optimal vs naïve diversification in cryptocurrenciesPlatanakis, E., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.econlet.2018.07.020 Abstract/SummaryThis 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.
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