Title: Portfolio management strategies of cryptocurrencies

Authors: Ebenezer Fiifi Emire Atta Mills; Kailin Zeng

Addresses: Department of Finance, School of Economics & Management, Jiangxi University of Science and Technology, Ganzhou, 341000, China; Ganzhou Academy of Financial Research (GAFR), Ganzhou, 341000, China ' Department of Finance, School of Economics & Management, Jiangxi University of Science and Technology, Ganzhou, 341000, China; Ganzhou Academy of Financial Research (GAFR), Ganzhou, 341000, China

Abstract: This study explores the portfolio management of cryptocurrencies by assessing the out-of-sample performance of selected portfolio strategies in the literature. Using daily data from 500 randomly selected cryptocurrencies with monthly and weekly revision, the scaled and stable mean-variance-entropic (MVE) value-at-risk portfolios outperform other portfolio strategies closely followed by 1/N portfolios. The mean Sharpe ratio with transaction costs of both MVE and 1/N was higher than that of benchmark, Coinbase index. Indeed, diversification across cryptocurrencies does improve investment results and mitigates risk exposure. The findings of this research are crucial for practitioners as they showcase a coherent manner to aid fund managers and investors in their investment practices.

Keywords: cryptocurrencies; portfolio strategy; diversification; risk.

DOI: 10.1504/IJADS.2021.112928

International Journal of Applied Decision Sciences, 2021 Vol.14 No.1, pp.43 - 54

Received: 11 Sep 2019
Accepted: 16 Oct 2019
Published online: 10 Feb 2021 *

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