Have a personal or library account? Click to login
Cryptocurrencies as an asset class in portfolio optimisation Cover

Cryptocurrencies as an asset class in portfolio optimisation

By: Olha Holovatiuk  
Open Access
|Sep 2020

References

  1. Ankenbrand, T., & Bieri, D. (2018). Assessment of cryptocurrencies as an asset class by their characteristics. Investment Management & Financial Innovations, 15(3), 169.
  2. Baek, C., & Elbeck, M. (2015). Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30–34.
  3. Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177–189.
  4. Bianchi, D. (2018). Cryptocurrencies as an asset class? An empirical assessment. An empirical assessment (June 6, 2018). WBS Finance Group Research Paper.
  5. Brauneis, A., & Mestel, R. (2018). Price discovery of cryptocurrencies: Bitcoin and beyond. Economics Letters, 165, 58–61.
  6. Briere, M., Oosterlinck, K., & Szafarz, A. (2015). Virtual currency, tangible return: Portfolio diversification with bitcoin. Journal of Asset Management, 16(6), 365–373.
  7. Brown, M. A. (2019). Cryptocurrency and Financial Regulation: The SEC's Rejection of Bitcoin-Based ETPs. NC Banking Inst., 23, 139.
  8. Burniske, C., & White, A. (2017, January). Bitcoin: Ringing the bell for a new asset class. Ark Invest.
  9. Chuen, D. L. K., Guo, L., & Wang, Y. (2017). Cryptocurrency: A new investment opportunity?. The Journal of Alternative Investments, 20(3), 16–40.
  10. Corbet, S., Lucey, B., Urquhart, A., Yarovaya, L. (2019). Cryptocurrencies as a financial asset: A systematic analysis. International Review of Financial Analysis, 62, 182–199.
  11. Demertzis, M., & Wolff, G. B. (2018). The economic potential and risks of crypto assets: Is a regulatory framework needed? Bruegel Policy Contribution Issue n °14| September 2018.
  12. Elendner, H., Trimborn, S., Ong, B., Lee, T. M. (2018). The cross-section of crypto-currencies as financial assets: Investing in crypto-currencies beyond Bitcoin. In Handbook of blockchain, digital finance, and inclusion (Vol. 1, pp. 145–173). Academic Press.
  13. Frazzini, A., Israel, R., & Moskowitz, T. J. (April 7, 2018). Trading costs. Retrieved from SSRN: https://ssrn.com/abstract=3229719.
  14. Garriga, M., Arias, M., & De Renzis, A. (2018). Blockchain and cryptocurrency: A comparative framework of the main architectural drivers. arXiv preprint arXiv:1812.08806.
  15. Grinberg, R. (2011). Bitcoin: An innovative alternative digital currency. Hastings Science & Technology Law Journal, 4, 160.
  16. Härdle, W. K., Chen, C. Y. H., & Overbeck, L. (Eds.). (2017). Applied quantitative finance (Vol. 2). Springer.
  17. Hileman, G., & Rauchs, M. (2017). Global cryptocurrency benchmarking study. Cambridge, UK: University of Cambridge.
  18. Kelly, D. (2015). Definition of a sales closing ratio. Small Business – Chron.com. Retrieved from http://smallbusiness.chron.com/definition-sales-closing-ratio-24985.html.
  19. Kim, S., Sarin, A., & Virdi, D. (2018). Crypto-assets unencrypted. Journal of Investment Management.
  20. Kinlaw, W., Kritzman, M. P., Turkington, D., & Markowitz, H. (2017). A practitioner's guide to asset allocation. John Wiley & Sons.
  21. Kreuser, J. and Sornette, D. (2018), Bitcoin Bubble Trouble. Wilmott, 2018: 30–39. doi: 10.1002/wilm.10672
    KreuserJ.SornetteD.2018Bitcoin Bubble TroubleWilmott2018303910.1002/wilm.10672
  22. Krueckeberg, S., & Scholz, P. (2018, November 27). Cryptocurrencies as an asset class? Retrieved from SSRN 3162800 or http://dx.doi.org/10.2139/ssrn.3162800
  23. Kurka, J. (2019). Do cryptocurrencies and traditional asset classes influence each other? Finance Research Letters, 31, 38–46.
  24. Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91.
  25. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Retrieved from http://bitcoin.org/bitcoin.pdf.
  26. Nishide, K., & Tian, Y. (2019). Brokered versus dealer markets: Impact of proprietary trading with transaction fees. International Review of Financial Analysis, 101371.
  27. Rollinge, R. T., & Hoffman, S. (2013). Sortino ratio: A better measure of risk. Futures Magazine, 1(02).
  28. Rom, B. M., & Ferguson, K. W. (1994). Post-modern portfolio theory comes of age. Journal of Investing, 3(3), 11–17.
  29. Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. Journal of Portfolio Management, 18(2), 7–19.
  30. Sontakke, K. A., & Ghaisas, A. (2017). Cryptocurrencies: A developing asset class. International Journal of Business Insights & Transformation, 10(2), 10–17.
  31. Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. The Journal of Investing, 3(3), 59–64.
  32. Sortino, F. A., & Van Der Meer, R. (1991). Downside risk. Journal of Portfolio Management, 17(4), 27.
  33. Stone, Sam (2019, May 2). 2019 Crypto-Exchange Fee Comparison. Medium. Retrieved August 5, 2019, from https://medium.com
  34. Trautman, L. J., & Dorman, T. (2018, July 22). Bitcoin as asset class. Retrieved from SSRN: https://ssrn.com/abstract=3218007.
  35. Trimborn, S., & Härdle, W. K. (2018). CRIX an Index for cryptocurrencies. Journal of Empirical Finance, 49, 107–122.
  36. Xu, X., Weber, I., Staples, M., Zhu, L., Bosch, J., Bass, L., ... Rimba, P. (2017, April). A taxonomy of blockchain-based systems for architecture design. In 2017 IEEE International Conference on Software Architecture (ICSA) (pp. 243–252). IEEE.
  37. Yermack, D. (2015). Is Bitcoin a real currency? An economic appraisal. In Handbook of digital currency (pp. 31–43). Academic Press.
DOI: https://doi.org/10.2478/ceej-2020-0004 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001
Language: English
Page range: 33 - 55
Published on: Sep 9, 2020
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2020 Olha Holovatiuk, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.