Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis

We investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the COVID-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks an...

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Detalles Bibliográficos
Autores: González, María de la O, Jareño Cebrián, Francisco, Skinner, Frank
Tipo de recurso: capítulo de libro
Fecha de publicación:2020
País:España
Institución:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/27667
Acceso en línea:http://hdl.handle.net/10578/27667
Access Level:acceso abierto
Palabra clave:Cryptocurrencies
Portfolio Optimization
Bitcoin
Altcoin
Gold
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spelling Portfolio Effects of Cryptocurrencies During the COVID-19 CrisisGonzález, María de la OJareño Cebrián, FranciscoSkinner, FrankCryptocurrenciesPortfolio OptimizationBitcoinAltcoinGoldWe investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the COVID-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks and bonds. Cryptocurrencies have the potential to control risk as most portfolios that include cryptocurrencies consistently experienced risk no greater than 50 basis points above the risk experienced by cash portfolios. However, there is no free lunch. While three asset portfolios can control risk, they also have a lower return per unit of risk.Ca Foscari202120212020info:eu-repo/semantics/bookPartapplication/pdfapplication/pdfhttp://hdl.handle.net/10578/27667reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésinfo:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/276672026-05-27T07:36:41Z
dc.title.none.fl_str_mv Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
title Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
spellingShingle Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
González, María de la O
Cryptocurrencies
Portfolio Optimization
Bitcoin
Altcoin
Gold
title_short Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
title_full Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
title_fullStr Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
title_full_unstemmed Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
title_sort Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis
dc.creator.none.fl_str_mv González, María de la O
Jareño Cebrián, Francisco
Skinner, Frank
author González, María de la O
author_facet González, María de la O
Jareño Cebrián, Francisco
Skinner, Frank
author_role author
author2 Jareño Cebrián, Francisco
Skinner, Frank
author2_role author
author
dc.subject.none.fl_str_mv Cryptocurrencies
Portfolio Optimization
Bitcoin
Altcoin
Gold
topic Cryptocurrencies
Portfolio Optimization
Bitcoin
Altcoin
Gold
description We investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the COVID-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks and bonds. Cryptocurrencies have the potential to control risk as most portfolios that include cryptocurrencies consistently experienced risk no greater than 50 basis points above the risk experienced by cash portfolios. However, there is no free lunch. While three asset portfolios can control risk, they also have a lower return per unit of risk.
publishDate 2020
dc.date.none.fl_str_mv 2020
2021
2021
dc.type.none.fl_str_mv info:eu-repo/semantics/bookPart
format bookPart
dc.identifier.none.fl_str_mv http://hdl.handle.net/10578/27667
url http://hdl.handle.net/10578/27667
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Ca Foscari
publisher.none.fl_str_mv Ca Foscari
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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