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Cryptocurrencies as an asset class in portfolio optimisation

Author

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  • Holovatiuk Olha

    (Master in Quantitative Finance, University of Warsaw, Master in International Economics, Odessa National Economic University)

Abstract

In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor's portfolio. We used 6 indices as proxies for the major asset classes, including the cryptocurrency index CRIX, for all cryptographic assets.

Suggested Citation

  • Holovatiuk Olha, 2020. "Cryptocurrencies as an asset class in portfolio optimisation," Central European Economic Journal, Sciendo, vol. 7(54), pages 33-55, January.
    • Handle: RePEc:vrs:ceuecj:v:7:y:2020:i:54:p:33-55:n:2
    DOI: 10.2478/ceej-2020-0004
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    Citations

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    Cited by:

    1. Liebi, Luca J., 2022. "Is there a value premium in cryptoasset markets?," Economic Modelling, Elsevier, vol. 109(C).

    More about this item

    Keywords

    cryptocurrencies; blockchain technology; asset class; portfolio optimisation; Modern Portfolio Theory; Post-Modern Portfolio Theory;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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