IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v17y2024i3p125-d1360240.html
   My bibliography  Save this article

Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach

Author

Listed:
  • Sonal Sahu

    (Department of Accounting and Finance, Campus Guadalajara, Tecnológico de Monterrey, Zapopan 45201, Mexico)

  • José Hugo Ochoa Vázquez

    (Department of Accounting and Finance, Campus Guadalajara, Tecnológico de Monterrey, Zapopan 45201, Mexico)

  • Alejandro Fonseca Ramírez

    (EGADE Business School, Tecnológico de Monterrey, Monterrey 66269, Mexico)

  • Jong-Min Kim

    (Division of Science and Mathematics, University of Minnesota-Morris, Morris, MN 56267, USA)

Abstract

This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical analysis reveals significant volatility, skewness, and kurtosis in cryptocurrencies, highlighting the need for sophisticated portfolio management techniques. We discover that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, especially in shorter-term investment horizons, delivering optimal returns to investors. Additionally, our findings emphasize the importance of dynamic portfolio management, stressing the necessity of regular rebalancing in the volatile cryptocurrency market. Overall, this study offers valuable insights into optimizing cryptocurrency portfolios, providing practical guidance for investors and portfolio managers navigating this rapidly evolving market landscape.

Suggested Citation

  • Sonal Sahu & José Hugo Ochoa Vázquez & Alejandro Fonseca Ramírez & Jong-Min Kim, 2024. "Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach," JRFM, MDPI, vol. 17(3), pages 1-14, March.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:125-:d:1360240
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/17/3/125/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/17/3/125/
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:125-:d:1360240. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.