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Author: Admin | 2025-04-28
Future. Our results demonstrate that ADA and BNB are alternatives to Bitcoin in portfolio diversification. Liu (2019) applies several models, such as naive diversification, minimum variance, risk parity, Markowitz model, maximum Sharpe, and maximum utility. The results indicate that naive diversification achieves a maximum Sharpe ratio (3.88). The portfolio includes BTC, ETH, XRP, LTC, XLM, XMR, DASH, USDT, NEM, and Verge. On the other hand, Brauneis and Mestel (2019) find out that the minimum Sharpe ratio of all 1/N portfolios exceeds the Sharpe ratio of more than 75% of the optimized portfolio. Bialkowski (2020) demonst that BCH, XRP, EOS, and ETC are highly volatile currencies. Mensi et al. (2019) examine co-movement between BTC and five major cryptocurrencies, such as DASH, ETH, LTC XMR, and XRP. The results indicate that a mixed portfolio provides better diversification benefits for portfolio managers. Moreover, Mensi et al. (2019) claim that ETH-BTC or XMR-BTC offers risk reductions and hedging effectiveness under the medium and long-term horizonChan et al. (2017) analyze statistical properties of the popular cryptocurrencies, such as BTC, DASH, DOGE, LTC, MaidSafecoin, XMR, and Ripples. BTC and LTC have generalized hyperbolic distribution compared to smaller cryptocurrencies. For these alternative currencies are typical normal inverse Gaussian distribution, generalized t distribution, and Laplace distribution. The results are significant for investment and risk management purposes. Limitations. According to data from Coinmarketcap (2021), we find that 32 virtual currencies have a market capitalization of more than $1 billion. However, the total file consists exclusively of 16 virtual currencies. The main reason is that ww.yahoo.finance.com does not offer all input data in the observed period. The virtual currency market is a dynamic market in which new currencies are emerging on a daily basis. In general, virtual currencies are divided into coins and tokens. In our case, the set consists
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