Blockchain and cryptocurrency are gradually going mainstream with new cryptocurrencies introduced every single day. The speculative nature of these digital assets expose their prices to large fluctuations. Trading these crypto-assets necessitate an adequate understanding of this emerging market...

This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV statistics and investors psychology. The...