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ORIGINAL ARTICLE
COMPARISON OF SELECTED PORTFOLIO STRATEGIES BASED ON THE EXAMPLE OF CRYPTOCURRENCY PORTFOLIOS
1
Akademia WSB w Dąbrowie Górniczej, Poland
Submission date: 2020-12-05
Acceptance date: 2021-02-27
Online publication date: 2021-03-31
Publication date: 2021-03-31
Economic and Regional Studies 2021;14(1):44-60
KEYWORDS
cryptocurrency portfolioshierarchical clusteringMarkowitz portfoliosemivarianceconditional value at risk
TOPICS
ABSTRACT
Subject and purpose of work: The purpose of this work was to compare selected portfolio strategies
in terms of return rates in order to answer the question whether the method of determining the
weights of the portfolio and reduction of the number of portfolio elements characterized by strong
positive correlation of rates of return have an impact on its profitability. Materials and methods: The analysis used publicly available data, selected portfolio methods and
hierarchical clustering. Both short- and long-term investment strategies were examined. Results: None of analyzed strategies allows to achieve higher rates of return in any given
(arbitrarily selected) period than other analyzed strategies. Portfolios with a reduced number of
elements in most cases did make it possible to achieve a higher rate of return than the benchmark
portfolios consisting of 15 cyptocurrencies. Conclusions: While making investment decisions, one should bear in mind that the realized rate
of return may significantly differ from the expected rate of return of the portfolio, which is only a
forecast.
PEER REVIEW INFORMATION
Article has been screened for originality
iThenticate
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