Portfolio Performance Analysis: A Case Study of Cryptocurrencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F20%3A63526082" target="_blank" >RIV/70883521:28120/20:63526082 - isvavai.cz</a>
Result on the web
<a href="http://www.inderscience.com/offer.php?id=111571" target="_blank" >http://www.inderscience.com/offer.php?id=111571</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1504/IJBC.2020.111571" target="_blank" >10.1504/IJBC.2020.111571</a>
Alternative languages
Result language
angličtina
Original language name
Portfolio Performance Analysis: A Case Study of Cryptocurrencies
Original language description
The study measures the risk level linked with different portfolios of cryptocurrencies by using portfolio diversification techniques. Data on prices and trade volumes of cryptocurrencies were collected on a daily basis, from 2012 till 2018. Ten portfolios were constructed based on diverse types and numbers of cryptocurrencies. The results of the study confirm a negative relationship between the average number of cryptocurrencies and the average risk level of the portfolio. Involving more cryptocurrencies within the portfolio reduces the diversification risk of the portfolio. The average volatility and average correlation coefficient both drop when moving towards portfolios with more cryptocurrencies. Average returns stand against portfolio theories, where more risky portfolios offer less daily weighted average returns and the other way around. Outcomes of the study provide indications for the individual investors and financial institutions on the risk characteristic attached to the portfolio of cryptocurrencies.
Czech name
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Czech description
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Classification
Type
J<sub>ost</sub> - Miscellaneous article in a specialist periodical
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International journal of blockchains and cryptocurrencies
ISSN
2516-6425
e-ISSN
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Volume of the periodical
1
Issue of the periodical within the volume
3
Country of publishing house
CH - SWITZERLAND
Number of pages
16
Pages from-to
286-301
UT code for WoS article
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EID of the result in the Scopus database
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