Blockchain is a new technology slowly integrating our economy with cryptocurrencies such as Bitcoin and many more applications. Bitcoin and other versions of it (known as Altcoins) are traded everyday at various cryptocurrency exchanges and have drawn the interest of many investors. These new types of assets are characterized by wild swings in prices, and this can lead to large swings in profit and losses. To respond to these dynamics, cryptoinvestors need adequate tools to guide them through their choice of portfolio selection and optimization. Bitcoin returns have shown some form of regime change, suggesting that regime-switching models could more adequately capture the volatility dynamics. This paper presents a two-state Markov-switching COGARCH-R-vine (MSCOGARCH) model for cryptocurrency portfolio selection and compares the performance to the single-regime COGARCH-R-vine (COGARCH). The findings here are in line with the literature where MSCOGARCH outperforms the single-regime COGARCH with regard to the expected shortfall risk. The COGARCH specifications here capture the structural breaks and heavy tailness within each state of the Markov switching in order to achieve a minimal risk and a maximum return. The flexibility of R-vine copula allows adequate bivariate copula selection for each pair of cryptocurrencies to achieve suitable dependence structure through pair-copula construction architecture.

中文翻译：

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用于加密货币投资组合选择和优化的马尔可夫转换 COGARCH 方法

区块链是一种新技术，慢慢地将我们的经济与比特币等加密货币和更多应用程序整合在一起。比特币及其其他版本（称为山寨币）每天都在各种加密货币交易所进行交易，并引起了许多投资者的兴趣。这些新型资产的特点是价格剧烈波动，这可能导致盈亏大幅波动。为了应对这些动态，加密投资者需要足够的工具来指导他们选择投资组合和优化。比特币回报显示出某种形式的政权更替，表明政权转换模型可以更充分地捕捉波动性动态。本文提出了一种用于加密货币投资组合选择的二态马尔可夫转换 COGARCH-R-vine (MSCOGARCH) 模型，并将其性能与单体制 COGARCH-R-vine (COGARCH) 进行比较。这里的发现与文献一致，其中 MSCOGARCH 在预期短缺风险方面优于单一制度 COGARCH。此处的 COGARCH 规范捕获了马尔可夫转换的每个状态中的结构性断裂和重尾性，以实现最小风险和最大回报。R-vine copula 的灵活性允许为每对加密货币选择足够的双变量 copula，以通过 pair-copula 构造架构实现合适的依赖结构。这里的发现与文献一致，其中 MSCOGARCH 在预期短缺风险方面优于单一制度 COGARCH。此处的 COGARCH 规范捕获了马尔可夫转换的每个状态中的结构性断裂和重尾性，以实现最小风险和最大回报。R-vine copula 的灵活性允许为每对加密货币选择足够的双变量 copula，以通过 pair-copula 构造架构实现合适的依赖结构。这里的发现与文献一致，其中 MSCOGARCH 在预期短缺风险方面优于单一制度 COGARCH。此处的 COGARCH 规范捕获了马尔可夫转换的每个状态中的结构性断裂和重尾性，以实现最小风险和最大回报。R-vine copula 的灵活性允许为每对加密货币选择足够的双变量 copula，以通过 pair-copula 构造架构实现合适的依赖结构。