Higher co-moments and adjusted Sharpe ratios for cryptocurrencies
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DOI: 10.1016/j.frl.2020.101543
Abstract: Abstract We report the results of regressing the Sharpe ratios of 72 cryptocurrencies on first, second and third co-moments of their returns. Our general aim is to examine the risk-return trade-off characteristics of cryptocurrencies. In… read more here.
Keywords: sharpe ratios; higher moments; ratios cryptocurrencies; finance ... See more keywords