Portfolio Performance Analysis: A Case Study of Cryptocurrencies

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Portfolio Performance Analysis: A Case Study of Cryptocurrencies

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Portfolio Performance Analysis: A Case Study of Cryptocurrencies

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2020

Kód důvěrnosti údajů

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

Název periodika

International journal of blockchains and cryptocurrencies

ISSN

2516-6425

e-ISSN

—

Svazek periodika

1

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

16

Strana od-do

286-301

Kód UT WoS článku

—

EID výsledku v databázi Scopus

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