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Using precious metals to hedge cryptocurrency policy and price uncertainty
Hassan, M. Kabir; Hasan, Md. Bokhtiar; Rashid, Md. Mamunur - In: Economics letters 206 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012886541
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Perfect competition vs. riskaverse agents : technology portfolio choice in electricity markets
Sunderkötter, Malte; Ziegler, Daniel; Weber, Christoph - 2013
Investments in power generation assets are risky due to high construction costs and long asset lifetimes. Technology diversification in generation portfolios represents one option to reduce long-term investment risks for risk-averse decision makers. In this article, we analyze the impact of...
Persistent link: https://www.econbiz.de/10010433600
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Are Cryptocurrencies Priced in the Cross-section? A Portfolio Approach
Assamoi, Kassi - 2020
factors. We examine a portfolio approach to explore cross-sectional pricing within the cryptomarket. At its inception, Bitcoin … well, because of these new investment opportunities and diversification venues. Since Bitcoin, the number of …
Persistent link: https://www.econbiz.de/10012837468
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More Informative Disclosures, Less Informative Prices? Portfolio and Price Formation Around Quarter-Ends
Gormley, Todd A. - 2020
-time position adjustments suggests this quarterly pattern might reduce price informativeness. Consistent with this possibility, we … find that quarter-ends are associated with greater subsequent return reversals and lower price efficiency. Additional tests … support a link between disclosure-driven trades and lower price efficiency …
Persistent link: https://www.econbiz.de/10012853490
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Endogenous inattention and risk-specific price underreaction in corporate bonds
Li, Jiacui - In: Journal of financial economics 145 (2022) 2,2, pp. 595-615
Persistent link: https://www.econbiz.de/10013474426
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Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach
Trimborn, Simon - 2019
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 adding them to the same portfolio. We propose a...
Persistent link: https://www.econbiz.de/10012901567
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Portfolio Management with Cryptocurrencies : The Role of Estimation Risk
Platanakis, Emmanouil - 2019
This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black-Litterman model with VBCs that controls for estimation errors in a portfolio of...
Persistent link: https://www.econbiz.de/10012897358
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Bitcoin and liquidity risk diversification
Ghabri, Yosra; Guesmi, Khaled; Zantour, Ahlem - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819160
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Investment in cryptocurrencies : lessons for asset pricing and portfolio theory
Dempsey, Michael; Huy Pham; Ramiah, Vikash - In: Applied economics 54 (2022) 10, pp. 1137-1144
Persistent link: https://www.econbiz.de/10012875129
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On the factors of Bitcoin's value at risk
Kwon, Ji Ho - In: Financial innovation : FIN 7 (2021), pp. 1-31
This study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR). Extending the … conditional autoregressive VaR model proposed by Engle and Manganelli (2004), I examine 30 potential drivers of Bitcoin's 5% and 1 …% VaR. For the 5% VaR, quantity variables, such as Bitcoin trading volume and monetary policy rate, were positively …
Persistent link: https://www.econbiz.de/10012798684