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Diversification benefits in the cryptocurrency market under mild explosivity
European Journal of Operational Research ( IF 6.4 ) Pub Date : 2021-03-03 , DOI: 10.1016/j.ejor.2021.02.058
Sofia Anyfantaki , Stelios Arvanitis , Nikolas Topaloglou

We investigate whether cryptocurrencies provide diversification benefits to risk averters via a stochastic spanning methodology. We avoid the conceptual and statistical problems of non-stationary returns by providing a modification of the second order stochastic dominance relation and of the related notion of stochastic spanning. These are compatible with a mildly explosive framework for the logarithm prices, along with conditions for asymptotic negligibility of bubbles. In the empirical application, we construct optimal portfolios, both with and without cryptocurrencies, and evaluate their comparative performance both in- and out-of-sample. A conservative modification of a t-test is presented to test the null hypothesis of non-dominance of an optimal portfolio that includes cryptocurrencies over the traditional portfolio of only stocks, bonds and cash. The augmented portfolio is found to be a good diversification option for some risk averse investors in the full sample period and in a sub-period of high cryptocurrency returns.



中文翻译:

温和爆发下加密货币市场的多元化收益

我们调查了加密货币是否通过随机跨越方法为风险规避者提供了多样化的好处。我们通过对二阶随机优势关系和随机跨度的相关概念进行修改,避免了非平稳收益的概念和统计问题。这些与对数价格的温和爆炸性框架以及泡沫渐近可忽略的条件兼容。在实证应用中,我们构建了有和没有加密货币的最佳投资组合,并评估了它们在样本内和样本外的比较表现。提出了对 t 检验的保守修改,以测试最优投资组合的非支配性零假设,其中包括加密货币对仅包含股票的传统投资组合,债券和现金。在整个样本期间和高加密货币回报的子期间,对于一些规避风险的投资者来说,增强型投资组合是一个很好的分散投资选择。

更新日期:2021-03-03
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