摘要翻译:
在本文中,我们研究了将加密货币混合到一个德国投资者投资组合中是否提高了投资组合的多样化。我们通过应用(均值方差)投资组合分析来分析这个研究问题,使用一个工具箱,该工具箱包括(i)描述性统计的比较,(ii)图形方法和(iii)计量经济学跨越检验。与以往的大多数研究不同,我们使用了一个(宽泛的)自定义的等权加密货币指数(EWCI)来捕捉整个预先定义的加密货币领域的平均发展,并减轻数据中可能的生存偏差。根据Glas/Poddig(2018),这种偏见可能会导致一些现有研究的误导性结果。我们发现加密货币可以在我们的数据集中的几个分析窗口(包括2014-01-01至2019-05-31的每周观察)中改善投资组合的多样化。然而,我们不能确认这种模式是正常的情况。通过将加密货币纳入他们的投资组合,投资者基本上无法达到效率更高的前沿。如果考虑加密货币收益的非正态性,这些结果也成立。此外,如果额外考虑加密货币市场上的交易成本/非流动性,我们将控制结果的变化。
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英文标题:
《Re-evaluating cryptocurrencies' contribution to portfolio
diversification -- A portfolio analysis with special focus on German
investors》
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作者:
Tim Schmitz and Ingo Hoffmann
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最新提交年份:
2020
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Economics 经济学
二级分类:General Economics 一般经济学
分类描述:General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类:Quantitative Finance 数量金融学
二级分类:Economics 经济学
分类描述:q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学,包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要:
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting of (i) the comparison of descriptive statistics, (ii) graphical methods and (iii) econometric spanning tests. In contrast to most of the former studies we use a (broad) customized, Equally-Weighted Cryptocurrency Index (EWCI) to capture the average development of a whole ex ante defined cryptocurrency universe and to mitigate possible survivorship biases in the data. According to Glas/Poddig (2018), this bias could have led to misleading results in some already existing studies. We find that cryptocurrencies can improve portfolio diversification in a few of the analyzed windows from our dataset (consisting of weekly observations from 2014-01-01 to 2019-05-31). However, we cannot confirm this pattern as the normal case. By including cryptocurrencies in their portfolios, investors predominantly cannot reach a significantly higher efficient frontier. These results also hold, if the non-normality of cryptocurrency returns is considered. Moreover, we control for changes of the results, if transaction costs/illiquidities on the cryptocurrency market are additionally considered.
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PDF链接:
https://arxiv.org/pdf/2006.06237