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https://doi.org/10.21256/zhaw-23853| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Low-volatility strategies for highly liquid cryptocurrencies |
| Autor/-in: | Kaya, Orcun Mostowfi, Mehdi |
| et. al: | No |
| DOI: | 10.1016/j.frl.2021.102422 10.21256/zhaw-23853 |
| Erschienen in: | Finance Research Letters |
| Band(Heft): | 46 |
| Heft: | 102422 |
| Erscheinungsdatum: | 2021 |
| Verlag / Hrsg. Institution: | Elsevier |
| ISSN: | 1544-6123 |
| Sprache: | Englisch |
| Schlagwörter: | Cryptocurrency; Portfolio optimization; Volatility; Stop-loss rule |
| Fachgebiet (DDC): | 332.6: Investition |
| Zusammenfassung: | Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/23853 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | CC BY-NC-ND 4.0: Namensnennung - Nicht kommerziell - Keine Bearbeitungen 4.0 International |
| Departement: | School of Management and Law |
| Organisationseinheit: | Institut für Financial Management (IFI) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
Dateien zu dieser Ressource:
| Datei | Beschreibung | Größe | Format | |
|---|---|---|---|---|
| 2022_Kaya-Mostowfi_Low-volatility-strategies-cryptocurrencies_frl.pdf | 456.67 kB | Adobe PDF |  Öffnen/Anzeigen |
Zur Langanzeige
Kaya, O., & Mostowfi, M. (2021). Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters, 46(102422). https://doi.org/10.1016/j.frl.2021.102422
Kaya, O. and Mostowfi, M. (2021) ‘Low-volatility strategies for highly liquid cryptocurrencies’, Finance Research Letters, 46(102422). Available at: https://doi.org/10.1016/j.frl.2021.102422.
O. Kaya and M. Mostowfi, “Low-volatility strategies for highly liquid cryptocurrencies,” Finance Research Letters, vol. 46, no. 102422, 2021, doi: 10.1016/j.frl.2021.102422.
KAYA, Orcun und Mehdi MOSTOWFI, 2021. Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters. 2021. Bd. 46, Nr. 102422. DOI 10.1016/j.frl.2021.102422
Kaya, Orcun, and Mehdi Mostowfi. 2021. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters 46 (102422). https://doi.org/10.1016/j.frl.2021.102422.
Kaya, Orcun, and Mehdi Mostowfi. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters, vol. 46, no. 102422, 2021, https://doi.org/10.1016/j.frl.2021.102422.
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