Investing with cryptocurrencies - A liquidity constrained investment approach

Arbeitspapier

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We propose use a Liquidity Bounded Risk-return Optimization (LIBRO) approach, which is a combination of the Markowitz framework under the liquidity constraints. The results show that cryptocurrencies add value to a portfolio and the optimization approach is even able to increase the return of a portfolio and lower the volatility risk.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2017-014

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometrics ; Financial Econometrics ; Portfolio Choice; Investment Decisions
• Thema: crypto-currency ; CRIX ; portfolio investment ; asset classes ; blockchain

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Trimborn, Simon ; Li, Mingyang ; Härdle, Wolfgang Karl
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/169204
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ