Cryptocurrencies (CCs) have risen rapidly in market capitalization over the past years. Despite striking volatility, their high average returns and low correlations have established CCs as alternative investment assets for portfolio and risk management. We investigate the benefits of adding CCs to well-diversified portfolios of conventional financial assets for different types of investors, including risk-averse, return-maximizing and diversification-seeking investors who may trade at different frequencies, namely, daily, weekly or monthly. We calculate out-of-sample performance and diversification benefits for the most popular portfolio-construction rules, including mean-variance optimization, risk-parity, and maximum-diversification strategies, as well as combined strategies. Our results demonstrate that CCs can improve the risk-return profile of portfolios, but their benefit depends on investor objectives. In particular, diversification strategies (maximizing the portfolio diversification index or equating risk contributions) draw appreciably on CCs and show, in line with spanning tests, CCs to be non-redundant extensions of the investment universe. However, when we introduce liquidity constraints via the LIBRO method to account for illiquidity of many CCs, out-of-sample performance drops considerably, while the diversification benefits persist. We conclude that the utility of CC investments strongly depends on investor characteristics.

在过去几年中，加密货币 (CC) 的市值迅速上升。尽管波动性很大，但它们的高平均回报和低相关性使 CC 成为投资组合和风险管理的另类投资资产。我们调查了在传统金融资产的多样化投资组合中为不同类型的投资者（包括可能以不同频率（即每天、每周或每月）进行交易的风险厌恶型、回报最大化和寻求多元化的投资者）添加 CC 的好处。我们计算最流行的投资组合构建规则的样本外表现和多样化收益，包括均值方差优化、风险平价和最大多样化策略，以及组合策略。我们的结果表明，CC 可以改善投资组合的风险收益状况，但其收益取决于投资者的目标。特别是，多元化策略（最大化投资组合多元化指数或等同于风险贡献）明显借鉴了 CC，并根据跨度测试表明，CC 是投资领域的非冗余扩展。然而，当我们通过 LIBRO 方法引入流动性约束来解释许多 CC 的流动性不足时，样本外性能显着下降，而多样化的好处仍然存在。我们得出结论，CC 投资的效用在很大程度上取决于投资者的特征。多元化策略（最大化投资组合多元化指数或等同风险贡献）明显借鉴了 CC，并根据跨度测试表明，CC 是投资领域的非冗余扩展。然而，当我们通过 LIBRO 方法引入流动性约束来解释许多 CC 的流动性不足时，样本外性能显着下降，而多样化的好处仍然存在。我们得出结论，CC 投资的效用在很大程度上取决于投资者的特征。多元化策略（最大化投资组合多元化指数或等同风险贡献）明显借鉴了 CC，并根据跨度测试表明，CC 是投资领域的非冗余扩展。然而，当我们通过 LIBRO 方法引入流动性约束来解释许多 CC 的流动性不足时，样本外性能显着下降，而多样化的好处仍然存在。我们得出结论，CC 投资的效用在很大程度上取决于投资者的特征。