Cryptocurrency portfolio optimization using Value-at-Risk measure

DOI

10.2991/smtesm-19.2019.75How to use a DOI?

Keywords

cryptocurrency, portfolio of assets, expected return, risk measure, variance, Value-at-Risk

Abstract

Current research has led to a rejection of the hypothesis of a normal distribution of financial assets returns. Under these conditions, portfolio variance cannot serve as a good risk measure. In this paper analyzed the daily returns of the most common cryptocurrencies: Bitcoin, Bitcoin Cash, Litecoin, XRP, Ethereum, NEM. It is shown that the asset returns are not normally distributed, but with good precision follow the Cauchy distribution. The analytical expressions for risk measure were obtained using the Cauchy distribution function and the VaR technique. The efficient frontiers of cryptocurrencies portfolios were constructed using modified Markowitz model. The purpose of the article is to assess the risks of major cryptocurrencies and to diversify the risk of cryptocurrency investing by applying a portfolio model

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Petro Hrytsiuk
AU  - Tetiana Babych
AU  - Larysa Bachyshyna
PY  - 2019/09
DA  - 2019/09
TI  - Cryptocurrency portfolio optimization using Value-at-Risk measure
BT  - Proceedings of the 6th International Conference on Strategies, Models and Technologies of Economic Systems Management (SMTESM 2019)
PB  - Atlantis Press
SP  - 385
EP  - 389
SN  - 2352-5428
UR  - https://doi.org/10.2991/smtesm-19.2019.75
DO  - 10.2991/smtesm-19.2019.75
ID  - Hrytsiuk2019/09
ER  -