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Optimization and Diversification of Cryptocurrency Portfolios: A Composite Copula-Based Approach
| Content Provider | MDPI |
|---|---|
| Author | Tenkam, Herve M. Mwambi, Sutene M. Jules, C. |
| Copyright Year | 2022 |
| Description | This paper focuses on the selection and optimisation of a cryptoasset portfolio, using the K-means clustering algorithm and GARCH C-Vine copula model combined with the differential evolution algorithm. This integrated approach allows the construction of a diversified portfolio of eight cryptocurrencies and determines an optimal allocation strategy making it possible to minimize the conditional value-at-risk of the portfolio and maximise the return. Our results show that stablecoins such as True-USD are negatively correlated to the other cryptoassets in the portfolio and could therefore be a safe haven for crypto-investors during market turmoil. Our findings are in line with previous studies exhibiting stablecoins as potential diversifiers. |
| Starting Page | 6408 |
| e-ISSN | 20763417 |
| DOI | 10.3390/app12136408 |
| Journal | Applied Sciences |
| Issue Number | 13 |
| Volume Number | 12 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2022-06-23 |
| Access Restriction | Open |
| Subject Keyword | Applied Sciences Mathematical Social Sciences Multivariate T-copula Cvar Differential Evolution Algorithm K-means Clustering Vine Copula Cryptocurrency |
| Content Type | Text |
| Resource Type | Article |
