Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2022 erstellt
Beschreibung:
For seven cryptocurrencies—Bitcoin (BTC), Ether (ETH), Cardano (ADA), Ripple (XRP), Solana (SOL), Litecoin (LTC), and Dogecoin (DOGE)—we compute the efficient set of portfolios for daily returns for the period January 2020 to September 2022. The paper reports the “background” statistics, including the mean and standard deviation for each crypto and the covariance and correlation matrices that describe the relationship between the cryptos’ returns. We allowed short-selling, but no efficient portfolio was found having negative weightings for any of the cryptos. Bitcoin is the most prominent portfolio constituent at lower levels of risk. At higher levels of standard deviation (risk), the portfolios come to be dominated by Solana and Dogecoin