single investment, the best cryptocurrency is Ripple, followed by Bitcoin and Litecoin. Furthermore, cryptocurrencies have a … were created. Bitcoin is the best cryptocurrency enhancing the characteristics of the optimal portfolio. Ripple and …-variance optimization technique of Merton (1990) is applied to develop the risk and return characteristics of the efficient portfolios …

provide evidence that as a single investment, the best cryptocurrency is Ripple,followed by Bitcoin and Litecoin. Furthermore … for which they were created. Bitcoin is the best cryptocurrency enhancing the characteristics of the optimal portfolio … mean-variance optimization technique of Merton (1990) is applied to develop the risk and return characteristics of the …

understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper … bound to the conditional value at risk (CVaR), and explores its generalization, relativistic value at risk (RLVaR), rooted … model behavior across different market types, and assesses the impact of cryptocurrency introduction on portfolio …

Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from …, Bitcoin investment had highly distinctive features, including exceptionally high average return and volatility. Its … correlation with other assets was remarkably low. Spanning tests confirm that Bitcoin investment offers significant …

The introduction of derivatives on Bitcoin enables investors to hedge risk exposures in cryptocurrencies. Because of … volatility swings and jumps in cryptocurrency prices, the traditional variance-based approach to obtain hedge ratios is …, different risk measures, such as value-at-risk, expected shortfall and spectral risk measures are employed to and the optimal …

illicit goods. But Bitcoin’s ability to grease the wheels of crime is not the only risk we should worry about. Rather, due to … its status as decentralized, open-source software, Bitcoin poses a risk that money has not historically been subject to … how each operational risk impacts Bitcoin’s status as money, I conclude that the aggregation of Bitcoin’s operational …

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 … when managing cryptocurrency portfolios …

to explain cryptocurrency risk and return. … Standardabweichungen zu testen. Wir erweitern die bestehende Literatur, indem wir zahlreiche Charakteristika identifizieren, die Risiko und … literature – explain the cross-section of cryptocurrency returns. We apply the monotonic relationship (Mr.) test developed by …

regulations on FinTech and cryptocurrencies (CCs), and analyse their impact on market dynamics. Specifically, a Cryptocurrency … Regulatory Risk IndeX (CRRIX) is constructed based on policy-related news coverage frequency. The unlabelled news data are … for all participants in the cryptocurrency market. The algorithms and Python code are available for research purposes on …