Spectral risk for digital assets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F25%3A10507674" target="_blank" >RIV/00216208:11320/25:10507674 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216224:14560/25:00140188

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=QYcyaxuxHx" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=QYcyaxuxHx</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11156-024-01313-0" target="_blank" >10.1007/s11156-024-01313-0</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Spectral risk for digital assets

Popis výsledku v původním jazyce

Digital assets (DAs) are a unique asset class that presents investors with opportunities and risks that are contingent upon their particular characteristics such as volatility, type, and profile, among other factors. Among DAs, cryptocurrencies (CCs) have emerged as the most liquid asset class, holding this distinction for almost a decade. However, while CCs offer a high level of liquidity, investors must be aware of the potential risks and rewards associated with investing in this asset class, and should conduct a thorough evaluation before making any investment decisions. Our study examines the risk profile of CCs through portfolio analysis, utilizing Spectral Risk Measures (SRMs) as the commonly applied method. In this study, we investigate the application of SRMs in assessing the risk structure of CC portfolios, and their alignment with investors&apos; risk preferences. We employ SRMs to evaluate the CC index CRIX and portfolios constructed from the most liquid 10 CCs from the Blockchain Research Center (BRC), optimizing different SRMs.Our empirical findings suggest that various optimal portfolio allocations can be formulated to meet the unique risk appetites of individual investors. All Quantlets (macros, code snippets) are available via quantlet.com and instructive educational element are available on quantinar.com.

Název v anglickém jazyce

Spectral risk for digital assets

Popis výsledku anglicky

Digital assets (DAs) are a unique asset class that presents investors with opportunities and risks that are contingent upon their particular characteristics such as volatility, type, and profile, among other factors. Among DAs, cryptocurrencies (CCs) have emerged as the most liquid asset class, holding this distinction for almost a decade. However, while CCs offer a high level of liquidity, investors must be aware of the potential risks and rewards associated with investing in this asset class, and should conduct a thorough evaluation before making any investment decisions. Our study examines the risk profile of CCs through portfolio analysis, utilizing Spectral Risk Measures (SRMs) as the commonly applied method. In this study, we investigate the application of SRMs in assessing the risk structure of CC portfolios, and their alignment with investors&apos; risk preferences. We employ SRMs to evaluate the CC index CRIX and portfolios constructed from the most liquid 10 CCs from the Blockchain Research Center (BRC), optimizing different SRMs.Our empirical findings suggest that various optimal portfolio allocations can be formulated to meet the unique risk appetites of individual investors. All Quantlets (macros, code snippets) are available via quantlet.com and instructive educational element are available on quantinar.com.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

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

Název periodika

Review of Quantitative Finance and Accounting

ISSN

0924-865X

e-ISSN

1573-7179

Svazek periodika

64

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

38

Strana od-do

537-574

Kód UT WoS článku

001266339900002

EID výsledku v databázi Scopus

2-s2.0-85197274219