A Study of the Impact of Crypto Assets on Portfolio Risk-Return Characteristics Before and After COVID-19 Outbreak (2014–2020)

Mengyao Liu, Hiroaki Jotaki, Hiroshi Takahashi

研究成果: Conference contribution

抄録

Following the COVID-19 outbreak, unlike the plunge in traditional mainstream assets, crypto assets have performed very well. Indices that reflect changes in the crypto assets market have also grown in recent years. However, in terms of cryptocurrency index-related studies, there are not many, and the period analyzed is mostly three years. This study analyzes historical data from July 2014 to April 2020 based on the cryptocurrency index CRIX and six other traditional mainstream assets to verify the impact of crypto assets on traditional portfolios. By using the DCC-GARCH model, this study finds out the low dynamic correlation between the crypto assets and traditional ones. Furtherly, by using the mean–variance model, Cornish-Fisher expansion and T-copula CVaR approach to check the frontier line and portfolio performance, this study finds out that crypto assets have the potential to improve the risk-return characteristics of traditional portfolios.

本文言語English
ホスト出版物のタイトルAgents and Multi-Agent Systems
ホスト出版物のサブタイトルTechnologies and Applications 2021 - Proceedings of 15th KES International Conference, KES-AMSTA 2021
編集者G. Jezic, J. Chen-Burger, M. Kusek, R. Sperka, R. J. Howlett, Lakhmi C. Jain, Lakhmi C. Jain, Lakhmi C. Jain
出版社Springer Science and Business Media Deutschland GmbH
ページ243-254
ページ数12
ISBN(印刷版)9789811629938
DOI
出版ステータスPublished - 2021
イベント15th International KES Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2021 - Virtual, Online
継続期間: 2021 6月 142021 6月 16

出版物シリーズ

名前Smart Innovation, Systems and Technologies
241
ISSN(印刷版)2190-3018
ISSN(電子版)2190-3026

Conference

Conference15th International KES Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2021
CityVirtual, Online
Period21/6/1421/6/16

ASJC Scopus subject areas

  • 決定科学(全般)
  • コンピュータ サイエンス(全般)

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