Advanced search
Publication Cover
Quantitative Finance Volume 21, 2021 - Issue 11
Submit an article Journal homepage
2,999
Views
24
CrossRef citations to date
0
Altmetric
Research Papers

Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies

Alla Petukhina† School of Business and Economics, Humboldt-Universität zu Berlin, Dorotheen Str. 1, Berlin10117, GermanyORCID Iconhttps://orcid.org/0000-0001-5818-789XView further author information
ORCID Icon,
Simon Trimborn‡ Department of Management Sciences, City University of Hong Kong, 7-268, Lau Ming Wai Academic Building, Kowloon Tong, Kowloon, Hong KongCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-3745-4164View further author information
ORCID Icon,
Wolfgang Karl Härdle§ Humboldt-Universität zu Berlin, IRTG 1792, Dorotheen Str. 1, Berlin10117, Germany;¶ Wang Yanan Institute for Studies in Economics, Xiamen University Xiamen, N114, Economics Building, Xiamen361005, People's Republic of China;‖ School of Business, Singapore Management University, 50 Stamford Road, 178899, Singapore;** Faculty of Mathematics and Physics, Charles University, Ke Karlovu 3, Prague121 16, Czech Republic;†† Department of Information Management and Finance, National Chiao Tung University, Hsinchu City, Taiwan, ROCView further author information
&
Hermann Elendner‡‡ Weizenbaum-Institut, Hardenbergstraße 32, Berlin10623, Germany;§§ UCL Centre for Blockchain Technologies, UCL Computer Science, Malet Place, London WC1E 6BT, United KingdomView further author information
Pages 1825-1853 | Received 11 Feb 2019, Accepted 08 Jan 2021, Published online: 13 Apr 2021

Citations (24)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Eduardo Amorim Vilela de Salis & Leandro dos Santos Maciel. (2023) How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality. Quantitative Finance 23:11, pages 1637-1658.
Read now
Ivilina Popova & Jot K Yau. (2023) Computing optimal portfolios of multi-assets with tail risk: the case of bitcoin. Applied Economics Letters 30:12, pages 1618-1626.
Read now
Martin Waltz, Abhay Kumar Singh & Ostap Okhrin. (2022) Vulnerability-CoVaR: investigating the crypto-market. Quantitative Finance 22:9, pages 1731-1745.
Read now
Alla A. Petukhina, Raphael C. G. Reule & Wolfgang Karl Härdle. (2021) Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies. The European Journal of Finance 27:1-2, pages 8-30.
Read now

Articles from other publishers (20)

Leonardo Ieracitano Vieira & Márcio Poletti Laurini. (2022) Time-varying higher moments in Bitcoin. Digital Finance 5:2, pages 231-260.
Crossref
Luca Gambarelli, Gianluca Marchi & Silvia Muzzioli. (2023) Hedging effectiveness of cryptocurrencies in the European stock market. Journal of International Financial Markets, Institutions and Money 84, pages 101757.
Crossref
José Almeida & Tiago Cruz Gonçalves. (2023) A systematic literature review of investor behavior in the cryptocurrency markets. Journal of Behavioral and Experimental Finance 37, pages 100785.
Crossref
Yi Li, Brian Lucey & Andrew Urquhart. (2023) Can altcoins act as hedges or safe-havens for Bitcoin?. Finance Research Letters 52, pages 103360.
Crossref
Luis Lorenzo & Javier Arroyo. (2023) Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm. Financial Innovation 9:1.
Crossref
Zdravka Aljinović, Branka Marasović & Tea Kalinić Milićević. (2022) The Risk and Return of Traditional and Alternative Investments Under the Impact of COVID-19. Business Systems Research Journal 13:3, pages 8-22.
Crossref
Meriem Youssef, Bouthaina Ben Naoua, Fouad Ben Abdelaziz & Messaoud Chibane. (2022) Portfolio selection: should investors include crypto‐assets? A multiobjective approach. International Transactions in Operational Research.
Crossref
Maria Čuljak, Bojan Tomić & Saša Žiković. (2022) Benefits of sectoral cryptocurrency portfolio optimization. Research in International Business and Finance 60, pages 101615.
Crossref
Azita Sherej Sharifi & Mousa Zalaki Ghorbanpour. (2022) Proposing a multiple infrastructure model for the utilization of bitcoin. Retos 12:23, pages 11-124.
Crossref
Mina Sami & Wael Abdallah. (2022) Does Cryptocurrency Hurt African Firms?. Risks 10:3, pages 53.
Crossref
Alisa Kim, Simon Trimborn & Wolfgang Karl Härdle. (2021) VCRIX — A volatility index for crypto-currencies. International Review of Financial Analysis 78, pages 101915.
Crossref
JINGJING CHEN, SHIYI CHEN, QINGFU LIU & MI SHEN. (2021) APPLYING BLOCKCHAIN TECHNOLOGY TO RESHAPE THE SERVICE MODELS OF SUPPLY CHAIN FINANCE FOR SMES IN CHINA. The Singapore Economic Review, pages 1-18.
Crossref
Oleksandr Terentiev, Tatyana Prosiankina-Zharova, Volodymyr Savastiyanov, Valerii Lakhno & Vira Kolmakova. (2021) The Features of Building a Portfolio of Trading Strategies Using the SAS OPTMODEL Procedure. Computation 9:7, pages 77.
Crossref
Serdar Neslihanoglu. (2021) Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods. Financial Innovation 7:1.
Crossref
Alla Petukhina & Erin Sprünken. (2021) Evaluation of multi-asset investment strategies with digital assets. Digital Finance 3:1, pages 45-79.
Crossref
Lennart Ante. (2022) Liquidity Shocks, Token Returns and Market Capitalization in Decentralized Finance (DeFi) Markets. SSRN Electronic Journal.
Crossref
Campbell R. Harvey, Tarek Abou Zeid, Teun Draaisma, Martin Luk, Henry Neville, Andre Rzym & Otto van Hemert. (2022) An Investor’s Guide to Crypto. SSRN Electronic Journal.
Crossref
Farid AitSahlia, Thomas W. Doellman & Sabuhi Sardarli. (2022) Mean-Variance Spanning Tests With Short-Sales Constraints. SSRN Electronic Journal.
Crossref
Jochen Papenbrock, Peter Schwendner & Philipp Sandner. (2021) Can Adaptive Seriational Risk Parity Tame Crypto Portfolios?. SSRN Electronic Journal.
Crossref
Simon Trimborn & Yang Li. (2021) Informative Effects of Expert Sentiment on the Return Predictability of Cryptocurrency. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.