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Portfolio Optimalization on Digital Currency Market

Department of Qualitative Methods and Economic Informatics, The Faculty of Operation and Economics of Transport and Communications, University of Zilina, Univerzitna 8215/1, 010 26 Zilina, Slovakia
Academic Editors: Thanasis Stengos and Stephen Satchell
J. Risk Financial Manag. 2021, 14(4), 160;
Received: 12 February 2021 / Revised: 11 March 2021 / Accepted: 31 March 2021 / Published: 3 April 2021
(This article belongs to the Special Issue Financial and Systematic Risks of Enterprises)
Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out that current research focused rarely on portfolio diversification using bibliographic analysis in VOSviewer. We think that portfolio diversification is extremely important on the crypto market for most investors because virtual currencies are very risky compared to traditional assets. The primary aim is to construct an optimal portfolio consisting of several cryptocurrencies without traditional assets using a modern theory portfolio. The total sample consists of 16 virtual currencies from 1 October 2017 to 13 January 2020. We mainly obtain historical data on the daily close price of cryptocurrencies from Yahoo Finance. The results show that the optimal portfolio using Markowitz approach consists of Cardano, Binance Coin, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical virtual currency compared to other cryptocurrencies. View Full-Text
Keywords: portfolio; optimalization; risk; virtual currency; cryptocurrency; market portfolio; optimalization; risk; virtual currency; cryptocurrency; market
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MDPI and ACS Style

Mazanec, J. Portfolio Optimalization on Digital Currency Market. J. Risk Financial Manag. 2021, 14, 160.

AMA Style

Mazanec J. Portfolio Optimalization on Digital Currency Market. Journal of Risk and Financial Management. 2021; 14(4):160.

Chicago/Turabian Style

Mazanec, Jaroslav. 2021. "Portfolio Optimalization on Digital Currency Market" Journal of Risk and Financial Management 14, no. 4: 160.

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