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Artur Sepp

Likes
50
Date
2022/09/13
Image Link
https://media-exp1.licdn.com/dms/image/sync/C4E27AQERZ57fXsis0w/articleshare-shrink_1280_800/0/1663082147763?e=1663707600&v=beta&t=MUB2mW1EzBVx8WHjBQLxkoibENx9bA9Btb5fCCcWpLg
ML Score
6
Job
Sygnum Bank | Head Systematic Solutions and Portfolio Construction
Content
New research paper on optimal allocation to Bitcoin and cryptocurrencies for diversified portfolios: I apply four quantitative methods for optimal allocation to Bitcoin cryptocurrency within alternative and balanced portfolios based on metrics of portfolio diversification, expected risk-returns, and skewness of returns distribution.Using roll-forward historical simulations, I find that the median of optimisers’ average weights is 2.3% and 4.8% for 100% alternatives and for 75%/25% balanced/alternatives portfolios, respectively.I conclude that Bitcoin may provide positive marginal contribution to risk-adjusted performances of optimal portfolios.I emphasize the diversification benefits of cryptocurrencies as an asset class within broad risk-managed portfolios with systematic re-balancing.#bitcoin #cryptocurrency #assetallocation
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6975452430364745729
Comments
5
Type
Post
Profile
https://www.linkedin.com/in/artursepp/
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