Sahu, S.; Ochoa Vázquez, J.H.; Ramírez, A.F.; Kim, J.-M. Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach. J. Risk Financial Manag.2024, 17, 125.
Sahu, S.; Ochoa Vázquez, J.H.; Ramírez, A.F.; Kim, J.-M. Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach. J. Risk Financial Manag. 2024, 17, 125.
Sahu, S.; Ochoa Vázquez, J.H.; Ramírez, A.F.; Kim, J.-M. Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach. J. Risk Financial Manag.2024, 17, 125.
Sahu, S.; Ochoa Vázquez, J.H.; Ramírez, A.F.; Kim, J.-M. Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach. J. Risk Financial Manag. 2024, 17, 125.
Abstract
This paper investigates portfolio optimization methodologies and short-term investment strate-gies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from January 2020 to November 2023. We employ high frequency data and utilize the Kurtosis Mini-mization methodology, alongside other optimization strategies, to construct and evaluate port-folios under different rebalancing frequencies. The empirical analysis reveals that cryptocurren-cies exhibit significant volatility, skewness, and kurtosis, necessitating sophisticated portfolio management techniques. We find that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, delivering optimal returns to investors, particularly in shorter-term investment horizons. We demonstrate the diversification benefits of integrating cryptocurrencies into multi-asset portfolios and emphasize the importance of regular portfolio rebalancing in the volatile cryptocurrency market. Our findings offer insights for portfolio man-agers and investors seeking to optimize their investment outcomes in the cryptocurrency market, highlighting the importance of risk management, diversification, and dynamic portfolio man-agement strategies.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
