Crypto Asset Portfolio selection

The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements, frequent among crypto assets. To achieve this aim we consider both systemic and tail risks as additional constraints in Markowitz model. We apply the methodology to the observed time series the ten largest crypto-assets, in terms of market capitalization, over the period September 20, 2017 -- December 31, 2020 (1200 daily observations). The results indicate that the portfolios selected considering tail risk are more diversified and, therefore, more resilient to financial shocks