Making Informed Decisions in the Volatile Crypto Market: An Analysis of Portfolio Risk and Return

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F75081431%3A_____%2F23%3A00002598" target="_blank" >RIV/75081431:_____/23:00002598 - isvavai.cz</a>

Result on the web

<a href="https://journals-sagepub-com.ezproxy.techlib.cz/doi/10.1177/21582440231193600" target="_blank" >https://journals-sagepub-com.ezproxy.techlib.cz/doi/10.1177/21582440231193600</a>

DOI - Digital Object Identifier

—

Result language

angličtina

Original language name

Making Informed Decisions in the Volatile Crypto Market: An Analysis of Portfolio Risk and Return

Original language description

Despite widespread skepticism linked to cryptocurrencies, they are constantly gaining the interest of scholars, investors, media, and regulators. Recognizing the importance that portfolio risk maintains for crypto participants, this study attempts to shed light on this issue. We investigate the risk-return tradeoffs of the most tradable cryptocurrencies based on portfolio diversification techniques. Three different crypto portfolios containing a diverse number of cryptocurrencies were created to analyze the diversification risk from a historical perspective. Data concerning daily prices and their trade volume was collected from the Coin Market Cap database and covered the period from 1 January 2016 to 31 December 2022. The results regarding the risk-reward tradeoff stand in line with the portfolio theory, where higher expected returns offset higher risk. On average, the portfolio composed of 10 cryptocurrencies offers better optimization than the one with five, as it generates the same returns with lower risk. The year 2018 reflects the maximum diversification benefits in the three portfolios, corresponding to the period when cryptocurrencies gained massive popularity. From the managerial perspective, results inform crypto and institutional investors of the possible diversification benefits of the 15 most traded cryptocurrencies.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50200 - Economics and Business

Project

—

Continuities

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Publication year

2023

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

SAGE Open

ISSN

2158-2440

e-ISSN

—

Volume of the periodical

13

Issue of the periodical within the volume

3

Country of publishing house

GB - UNITED KINGDOM

Number of pages

14

Pages from-to

1-14

UT code for WoS article

001059043100001

EID of the result in the Scopus database

2-s2.0-85169413802