Purpose - It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric … windows method. The sample consisted of ten significant cryptocurrencies. Findings - Dynamic optimization enhanced risk … - Sophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio. Originality/value - To the best of …

normality of the portfolio returns leads to the underestimation of portfolio risk. Cryptocurrencies are a decentralized digital … reveal a very high excess kurtosis and skewness for returns of cryptocurrencies. In order to incorporate larger skewness and … kurtosis of the cryptocurrencies, a data-driven portfolio risk measure is minimized to obtain the optimal portfolio weights. A …