This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the … out-of-sample risk-adjusted returns as well as lower risks. Our results are robust to the inclusion of transaction costs …

to hedge their volumetric risk are present. We propose two continuous-time multivariate models for the wind power … both cases, significant variance reductions are achieved. Additionally, the risk premium of the German wind power futures … is analysed, leading to an indication of the risk premium of tailor-made wind power futures …

variance risk premia, with three different regular time partitions for realised variance, viz. 15-minutes, hourly and daily. We … also examine the relationship between bitcoin's 30-day realised variance, volatility index and variance risk premium with …

latter provides a more precise portfolio allocation strategy because it considers investor risk-aversion for each moment …

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics … the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying … risk management, financial engineering (such as bitcoin derivatives) - both from an investor's as well as from a regulator …