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Full-Text Articles in Social and Behavioral Sciences
Cryptocurrencies: Applications And Investment Opportunities, A. Can Inci, Rachel Lagasse
Cryptocurrencies: Applications And Investment Opportunities, A. Can Inci, Rachel Lagasse
Finance Department Faculty Journal Articles
Purpose
This study investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed from traditional asset classes. Using a long sample period covering not only the large value increases but also the dramatic declines during the beginning of 2018, the purpose of this paper is to provide a more complete analysis of the dynamic nature of cryptocurrencies as individual investment opportunities, and as components of optimal portfolios.
Design/methodology/approach
The mean-variance optimization technique of Merton (1990) is applied to develop the risk and return characteristics of the efficient portfolios, along with the optimal weights of the asset class components …