Accessibility navigation

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

Text - Accepted Version
· Available under License Creative Commons Attribution Non-commercial No Derivatives.
· Please see our End User Agreement before downloading.


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


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
Divisions:Henley Business School > ICMA Centre
ID Code:78105


Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation