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Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach
| Content Provider | Scilit |
|---|---|
| Author | Trimborn, Simon Li, Mingyang Hhrdle, Wolfgang K. |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal 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. |
| Related Links | http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-014.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2999782 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2999782 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-07-07 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |