The purpose of this paper is twofold. Firstly, it discusses the relationship between five cryptocurrencies, oil prices, and US indices. Secondly, it focuses on determining the best portfolio hedging strategy. Using daily data relevant to the period ranging from January 4, 2016, to November 29, 2019, this study applies the FIEGARCH-EVT-Copula and Hedge ratios analysis. The findings obtained have shown that the crude oil (WTI) and the US indices return highlights the persistence of a negative and significant leverage effect while the cryptocurrency markets present a positive asymmetric volatility effect. Moreover, this paper show evidence of very weak dependence between all the different pairs considered before and after the introduction of Bitcoin Futures. Based on the Hedging ratio and mean-variance approach, this article suggests that to minimize the risk while keeping the same expected returns of the digital-conventional financial asset portfolio, the investor should hold more conventional financial assets than digital assets except for WTI-Bitcoin, WTI- Dash and WTI-Ethereum pairs which the values of their hedge ratios are rather important with respect to OLS regression.

本文的目的是双重的。首先，它讨论了五种加密货币，石油价格和美国指数之间的关系。其次，它着重于确定最佳的投资组合对冲策略。本研究使用与2016年1月4日至2019年11月29日这段时间相关的每日数据，应用FIEGARCH-EVT-Copula和对冲比率分析。所获得的发现表明，原油（WTI）和美国指数收益率突出显示了负的显着杠杆效应的持续存在，而加密货币市场则呈现出正的不对称波动效应。而且，本文显示了在引入比特币期货之前和之后所考虑的所有不同货币对之间非常弱的依赖性的证据。基于对冲比率和均值方差方法，