Optimal allocation to cryptocurrencies in diversified portfolios
Asset allocation methods assign positive weights to cryptos in diversified portfolios
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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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