New paper on cryptocurrency portfolios

Post date: May 24, 2018 7:03:50 AM

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.