Cryptocurrency-portfolios in a mean-variance framework
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.05.008
Abstract: Abstract We apply the Markowitz mean-variance framework in order to assess risk-return benefits of cryptocurrency-portfolios. Using daily data of the 500 most capitalized cryptocurrencies for the time span 1/1/2015 to 12/31/2017, we relate risk and… read more here.
Keywords: cryptocurrency portfolios; variance; variance framework; mean variance ... See more keywords