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New paper on cryptocurrency portfolios

posted May 24, 2018, 12:03 AM by Graz FinanceResearch
A new paper by FiRe members Alexander Brauneis and Roland Mestel, titled "Cryptocurrency-portfolios in a mean-variance framework" has recently been accepted for publication in Finance Research Letters. It is the first paper investigating crypto-only portfolios in a traditional mean-variance framework. The authors identify naively diversified portfolios to derive risk-adjusted outperformance when compared to mean-variance optimized portfolios. The paper was previously presented at the FiRe Research Day in December 2017.