Title: Management of investment hybrid portfolio

Authors: Petro Hrytsiuk; Tetiana Babych; Oksana Kardash

Addresses: Department of Computer Technologies and Economic Cybernetics, National University of Water and Environmental Engineering, Soborna Str., 11 – 33028, Rivne, Ukraine ' Department of Computer Technologies and Economic Cybernetics, National University of Water and Environmental Engineering, Soborna Str., 11 – 33028, Rivne, Ukraine ' Department of Computer Technologies and Economic Cybernetics, National University of Water and Environmental Engineering, Soborna Str., 11 – 33028, Rivne, Ukraine

Abstract: This research is devoted to the investment portfolio management. In the paper, we analysed the daily returns of the six most popular and profitable cryptocurrencies. To manage the risk, it is proposed to create a 'hybrid' portfolio by including stocks of one or two stable companies in the cryptocurrency portfolio. It is shown that the asset returns are not normally distributed, but with good precision follow the Cauchy distribution and the Laplace one. The risk assessments were derived by analytical expressions for the Cauchy and Laplace distribution functions respectively, using VaR technique. According to the correlation matrix between the cryptocurrencies returns and stocks returns, four investment portfolios were examined. The research has shown that the highest investment efficiency can be achieved by adding stocks to the cryptocurrency portfolio. The study of new statistics has made it possible to assess the impact of economic crisis on the return and risk of investment assets.

Keywords: cryptocurrency portfolio; hybrid portfolio; portfolio management; cryptocurrency return; stock return; risk measure; economic crisis; distribution.

DOI: 10.1504/IJBPM.2021.116415

International Journal of Business Performance Management, 2021 Vol.22 No.2/3, pp.180 - 198

Received: 15 Jun 2020
Accepted: 12 Nov 2020

Published online: 08 Jul 2021 *

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