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ArticlePortfolio diversification across cryptocurrencies

Weiyi Liu2018

Article2018

Portfolio diversification across cryptocurrencies

205 citations·0/0 files stored·Finance research letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2015Bitcoin, gold and the dollar – A GARCH volatility analysis 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets 2016The Inefficiency of Bitcoin 2017Volatility estimation for Bitcoin: A comparison of GARCH models 2016On the inefficiency of Bitcoin 2014Bitcoins as an investment or speculative vehicle? A first look

Cited by

2020Convolution on neural networks for high-frequency trend prediction of cryptocurrency exchange rates using technical indicators 2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis 2019The Effectiveness of Technical Trading Rules in Cryptocurrency Markets 2019Common Risk Factors in the Returns on Cryptocurrencies 2020Portfolio optimization in the era of digital financialization using cryptocurrencies

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Year2018

Typearticle

Published2018-07-25

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations205

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.frl.2018.07.010

openalex_workW2883487552

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2020

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2022Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach

2021Cyber-attacks, spillovers and contagion in the cryptocurrency markets