Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out that current research focused rarely on portfolio diversification using bibliographic analysis in VOSviewer. We think that portfolio diversification is extremely important on the crypto market for most investors because virtual currencies are very risky compared to traditional assets. The primary aim is to construct an optimal portfolio consisting of several cryptocurrencies without traditional assets using a modern theory portfolio. The total sample consists of 16 virtual currencies from 1 October 2017 to 13 January 2020. We mainly obtain historical data on the daily close price of cryptocurrencies from Yahoo Finance. The results show that the optimal portfolio using Markowitz approach consists of Cardano, Binance Coin, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical virtual currency compared to other cryptocurrencies.

中文翻译：

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数字货币市场上的投资组合优化

虚拟货币代表了金融市场上的一项特定技术创新。比特币和其他加密货币是传统现金和投资的流行替代品。我们在文献综述中指出了研究空白。我们发现，当前的研究很少使用VOSviewer中的书目分析来关注投资组合的多元化。我们认为，对于大多数投资者而言，投资组合多元化在加密货币市场上极为重要，因为与传统资产相比，虚拟货币具有很大的风险。主要目标是使用现代理论投资组合构建由几种不包含传统资产的加密货币组成的最优投资组合。从2017年10月1日到2020年1月13日，样本总数包括16种虚拟货币。我们主要从Yahoo Finance获取有关加密货币每日收盘价的历史数据。结果表明，使用Markowitz方法的最佳投资组合包括Cardano，Binance Coin和Bitcoin。此外，虚拟货币具有中等程度的相关性，但基于相关性分析的Tether除外。高相关性对于投资组合多元化中的加密货币是危险的。但是，与其他加密货币相比，Tether是非典型的虚拟货币。