Optimal allocation to cryptocurrencies in diversified portfolios

Asset allocation methods assign positive weights to cryptos in diversified portfolios


Artur Sepp applies four quantitative methods for optimal allocation to bitcoin and ether cryptocurrencies within alternative and balanced portfolios including metrics for portfolio diversification, expected risk-return relationships and skewness of the returns distribution. Using roll-forward historical simulations, he shows that all four allocation methods produce a persistent positive allocation to bitcoin and ether in alternative and balanced portfolios with a

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