193
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Computing optimal portfolios of multi-assets with tail risk: the case of bitcoin

ORCID Icon &

References

  • Akhtaruzzaman, M., S. Boubaker, and A. Sensoy. 2021. “Financial Contagion during COVID–19 Crisis.” Finance Research Letters 38: 1–20.
  • Bae, K.-H., A. Karolyi, and R. Stulz. 2003. “A New Approach to Measuring Financial Contagion.” Review of Financial Studies 16: 717–763. doi:10.1093/rfs/hhg012.
  • Basel Committee on Banking Supervision, 2019. Minimum Capital Requirements for Market Risk.
  • Bouri, E., P. Molnár, G. Azzi, D. Roubaud, and L. I. Hagfors. 2017. “On the Hedge and Safe Haven Properties of Bitcoin: Is It Really More than a Diversifier?” Finance Research Letters 20: 192–198. doi:10.1016/j.frl.2016.09.025.
  • Bouri, E., D. Roubaud, R. Gupta, and C. Lau. 2021a. “Risk Aversion and Bitcoin Returns in Extreme Quantiles.” Economics Bulletin 41: 1374–1386.
  • Bouri, E., T. Saeed, X. V. Vo, and D. Roubaud. 2021b. “Quantile Connectedness in the Cryptocurrency Market.” Journal of International Financial Markets, Institutions and Money 71: 1–16.
  • Bratley, P., B. L. Fox, and L. E. Schrage. 1987. A Guide to Simulation. New York: Springer.
  • Cario, M. C., and B. L. Nelson. 1998. “Numerical Methods for Fitting and Simulating Autoregressive-to-Anything Processes.” INFORMS Journal on Computing 10: 72–81. doi:10.1287/ijoc.10.1.72.
  • Conlon, T., and R. McGee. 2020. “Safe Haven or Risky Hazard? Bitcoin during the Covid-19 Bear Market.” Finance Research Letters 35: 1–5.
  • Corbet, S., B. Lucey, A. Urquhart, and L. Yarovaya. 2019. “Cryptocurrencies as A Financial Asset: A Systematic Analysis.” International Review of Financial Analysis 62: 182–199. doi:10.1016/j.irfa.2018.09.003.
  • Corbet, S., A. Meegan, C. Larkin, B. Lucey, and L. Yarovaya. 2018. “Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets.” Economics Letters 165: 28–34. doi:10.1016/j.econlet.2018.01.004.
  • CPLEX, 2021. IBM ILOG CPLEX Optimization Studio.
  • Crowder, G., T. Schneeweis, and H. Kazemi, 2013. Post Modern Investment: Facts and Falacies of Growing Wealth in a Multi-asset World.
  • Dyhrberg, A. H. 2016. “Bitcoin, Gold and the Dollar – A GARCH Volatility Analysis.” Finance Research Letters 16: 85–92. doi:10.1016/j.frl.2015.10.008.
  • GAMS CONOPT, 2021. https://www.gams.com.
  • Huang, Y., K. Duan, and T. Mishra. 2021. “Is Bitcoin Really More than A Diversifier? A Pre- and post-COVID-19 Analysis.” Finance Research Letters 43: 102016. doi:10.1016/j.frl.2021.102016.
  • Kajtazi, A., and A. Moro. 2019. “The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study.” International Review of Financial Analysis 61: 143–157. doi:10.1016/j.irfa.2018.10.003.
  • King, A. J., and D. L. Jensen. 1992. “Linear-quadratic Efficient Frontiers for Portfolio Optimization.” Applied Stochastic Models and Data Analysis 8: 195–207. doi:10.1002/asm.3150080309.
  • Londono, J. M. 2019. “Bad Bad Contagion.” The Journal of Banking and Finance 108: 1–16.
  • Morton, D. P., E. Popova, and I. Popova. 2006. “Efficient Fund of Hedge Funds Construction under Downside Risk Measures.” Journal of Banking & Finance 30: 503–518. doi:10.1016/j.jbankfin.2005.04.016.
  • Morton, D. P., E. Popova, I. Popova, and M. Zhong. 2003. “Optimizing Benchmark-based Utility Functions.” Bulletin of the Czech Econometric Society 10: 1–18.
  • Osterrieder, J., M. Strika, and J. Lorenz. 2017. “Bitcoin and Cryptocurrencies—Not for the Faint-Hearted.” International Finance and Banking 4: 56. doi:10.5296/ifb.v4i1.10451.
  • Partani, A., D. Morton, and I. Popova, 2006. Jackknife Estimators for Reducing Bias in Asset Allocation, in: Proceedings of the 2006 Winter Simulation Conference, Monterey, CA. IEEE, pp. 783–791.
  • Petukhina, A., S. Trimborn, W. K. Härdle, and H. Elendner. 2021. “Investing with Cryptocurrencies – Evaluating Their Potential for Portfolio Allocation Strategies.” Quantitative Finance 21 (11): 1825–1853.
  • Popova, I., D. P. Morton, E. Popova, and J. Yau. 2007. “Optimizing Benchmark-Based Portfolios with Hedge Funds.” The Journal of Alternative Investments 10: 35–55. doi:10.3905/jai.2007.688992.
  • Selmi, R., W. Mensi, S. Hammoudeh, and J. Bouoiyour. 2018. “Is Bitcoin A Hedge, A Safe Haven or A Diversifier for Oil Price Movements? A Comparison with Gold.” Energy Economics 74: 787–801. doi:10.1016/j.eneco.2018.07.007.
  • Shahzad, S. J. H., E. Bouri, T. Ahmad, and M. A. Naeem. 2022a. “Extreme Tail Network Analysis of Cryptocurrencies and Trading Strategies.” Finance Research Letters 44: 1–10.
  • Shahzad, S. J. H., E. Bouri, T. Ahmad, M. A. Naeem, and X. V. Vo. 2021. “The Pricing of Bad Contagion in Cryptocurrencies: A Four-factor Pricing Model.” Finance Research Letters 41: 1–8.
  • Shahzad, S. J. H., E. Bouri, M. U. Rehman, and D. Roubaud. 2022b. “The Hedge Asset for BRICS Stock Markets: Bitcoin, Gold or VIX.” The World Economy 45: 292–316. doi:10.1111/twec.13138.
  • Smith, C., E. Platt, and R. Wigglesworth, 2021. Treasuries Wobble Heightens Worries over Bond Investing. Financial Times 10.
  • Stensas, A., M. F. Nygaard, K. Kyaw, and S. Treepongkaruna. 2019. “Can Bitcoin Be a Diversifier, Hedge or Safe Haven Tool? .” Cogent Economics and Finance 7: 1–17.
  • Wu, C., and V. Padney. 2014. “The Value of Bitcoin in Enhancing the Efficiency of an Investor’s Portfolio.” Journal of Financial Planning 9: 44–52.

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:

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:

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.