Cryptocurrency Portfolio Allocation under Credibilistic CVaR Criterion and Practical Constraints
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- Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David, 2019. "Co-explosivity in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 29(C), pages 178-183.
- Nick James & Max Menzies, 2023. "Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies," Papers 2304.08902, arXiv.org, revised Jun 2023.
- Sulalitha Bowala & Japjeet Singh, 2022. "Optimizing Portfolio Risk of Cryptocurrencies Using Data-Driven Risk Measures," JRFM, MDPI, vol. 15(10), pages 1-16, September.
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Keywords
portfolio optimization; conditional value at risk; fuzzy uncertainty; credibility theory; cryptocurrency market; practical constraints;All these keywords.
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