Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios
Year: 2018
Author: Glas, Tobias N., Poddig, Thorsten
Vierteljahrshefte zur Wirtschaftsforschung, Vol. 87 (2018), Iss. 3 : pp. 107–128
Abstract
This article shows that the inclusion of cryptocurrencies to a portfolio consisting of several German asset classes should be viewed with caution. Due to a high realized volatility, cryptocurrencies are only marginally included in a reference portfolio constructed by using a Markowitz and a risk-parity approach. At the same time, the inclusion of cryptocurrencies is not supported by mean-variance-spanning tests. Furthermore, the tradability of this new asset class and its data availability pose additional problems such that our disappointing results may be even biased in favor of cryptocurriencies.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/vjh.87.3.107
Vierteljahrshefte zur Wirtschaftsforschung, Vol. 87 (2018), Iss. 3 : pp. 107–128
Published online: 2018-07
AMS Subject Headings: Duncker & Humblot, Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 22
Keywords: Cryptocurrencies asset allocation mean-variance optimization risk parity E10 F31 G11 G12 G15
Author Details
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Rohrbach, J., S. Suremann und J. Osterrieder (2017): Momentum and trend following trading strategies for currencies revisited – combining academia and industry. Working Paper.
Google Scholar -
Hansen, L. P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50 (4), 1029–1054.
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Schneeweis, T. und G. Martin (2001): The benefits of hedge funds: Asset allocation for the institutional investor. Journal of Alternative Investments, 4 (3), 7–26.
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Rosenfeld, M. (2011): Analysis of bitcoin pooled mining reward systems. Working Paper.
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Google Scholar -
Nakamato, S. (2008): Bitcoin: A peer-to-peer electronic cash system. Working Paper.
Google Scholar -
Markowitz, H. (1952): Portfolio selection. The Journal of Finance, 7 (1), 77–91.
Google Scholar -
Maillard, S., T. Roncalli und J. Teïletche (2010): The properties of equally weighted risk contribution portfolios. Journal of Portfolio Management, 36 (4), 60–70.
Google Scholar -
Karavas, V. N. (2000): Alternative investments in the institutional portfolio. Journal of Alternative Investments, 3 (3), 11–25.
Google Scholar -
Hansen, L.P. und R. Jagannathan (1991): Implications of security market data for models of dynamic economies. Journal of Political Economy, 99 (2), 225–262.
Google Scholar -
Huberman, G.und S. Kandel (1987): Mean-variance spanning. The Journal of Finance, 42 (4), 873–888.
Google Scholar -
Hubrich, S. (2017): Know when to Hodl Em, know when to Fodl Em: An investigation of factor based investing in the cryptocurrency space. Working Paper.
Google Scholar -
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Google Scholar -
Glas, T. N. (2019): Investments in cryptocurrencies: Handle with care! Journal of Alternative Investments (im Erscheinen).
Google Scholar -
Colianni, S., S. Rosales und M. Signorotti (2015): Algorithmic trading of cryptocurrency based on twitter sentiment analysis. Working Paper.
Google Scholar -
Glaser, F., K. Zimmermann, M. Haferkorn, M. C. Weber und M. Siering (2014): Bitcoin – asset or currency? Revealing users' hidden Intentions. ECIS 2014. Tel Aviv.
Google Scholar -
Varmaz, A. und N. Varmaz (2018): Eine empirische Analyse von Initial Coin Offerings (ICO). Vierteljahrshefte zur Wirtschaftsforschung, 87 (3), 129–150.
Google Scholar -
Trimborn, S. und W. K. Härdle (2016): CRIX an Index for Blockchain Based Currencies. Working Paper.
Google Scholar -
Edwards, F. R. und J. Liew (1999): Hedge funds versus managed futures as asset classes. The Journal of Derivatives, 45–64.
Google Scholar -
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Google Scholar -
Ferson, W. E., S. R. Foerster und D. B. Keim (1993): General tests of latent variable models and mean-variance spanning. The Journal of Finance, 48 (1), 131–156.
Google Scholar -
Ince, O.S. und R.B. Porter (2006): Individual equity return data from Thomson Datastream: Handle with care! The Journal of Financial Research, 29 (4), 463–479.
Google Scholar -
Kan, R. und G. Zhou (2012): Tests of mean-variance spanning. Annals of Economics and Finance, 13 (1), 145–193.
Google Scholar -
Bekaert, G. und M. S. Urias (1996): Diversification, integration and emerging market closed-end funds. The Journal of Finance, 51(3), S. 835-869.
Google Scholar -
Rohrbach, J., S. Suremann und J. Osterrieder (2017): Momentum and trend following trading strategies for currencies revisited – combining academia and industry. Working Paper.
Google Scholar -
Hansen, L. P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50 (4), 1029–1054.
Google Scholar -
Agarwal, V. und N. Y. Naik (2000): On taking the „alternative“ route: Risks, rewards, style and performance persistence of hedge funds. Journal of Alternative Investments, 2 (4), 6–23.
Google Scholar -
Cao, J., R. Fu und Y. Jin (2017): International diversification through iShares and their rivals. Journal of Risk, 19 (3), 25–55.
Google Scholar -
Schneeweis, T. und G. Martin (2001): The benefits of hedge funds: Asset allocation for the institutional investor. Journal of Alternative Investments, 4 (3), 7–26.
Google Scholar -
Rosenfeld, M. (2011): Analysis of bitcoin pooled mining reward systems. Working Paper.
Google Scholar -
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Google Scholar -
Nakamato, S. (2008): Bitcoin: A peer-to-peer electronic cash system. Working Paper.
Google Scholar -
Markowitz, H. (1952): Portfolio selection. The Journal of Finance, 7 (1), 77–91.
Google Scholar -
Maillard, S., T. Roncalli und J. Teïletche (2010): The properties of equally weighted risk contribution portfolios. Journal of Portfolio Management, 36 (4), 60–70.
Google Scholar -
Karavas, V. N. (2000): Alternative investments in the institutional portfolio. Journal of Alternative Investments, 3 (3), 11–25.
Google Scholar