一个K-意味着分类和积聚合的投资组合策略,用于小型和大型资本化加密货币
Jules Clement Mba1, Ehounou Serge Eloge Florentin Angaman1
1School of Economics, College of Business and Economics, University of Johannesburg, Auckland Park, P.O. Box 524, Johannesburg 2006, South Africa.
Entropy (Basel, Switzerland)
|August 26, 2023
概括
这项研究评估了市场崩盘期间的三个加密货币投资组合策略. 正常性假设策略显示了最好的财富增长,大资本投资组合表现优于小资本投资组合.
科学领域:
- 量化金融 量化金融
- 加密货币投资策略 加密货币投资策略
- 风险管理 风险管理
背景情况:
- 加密货币市场高度波动,需要强大的投资组合策略.
- 之前的研究往往忽略了严重的市场衰退期间的表现.
- 了解资本化对投资组合弹性的影响至关重要.
研究的目的:
- 为加密货币提出和评估三个不同的投资组合分配策略.
- 评估不同市值组合的投资组合中的战略绩效.
- 在重大加密货币市场崩盘 (2022年4月至10月) 期间分析业绩.
主要方法:
- 开发了三个投资组合策略:正常性假设,倾斜的学生t分布和聚 (EP).
- 构建了三个投资组合:混合大/小资本 (组合1),小资本集中 (组合2) 和大资本集中 (组合3).
- 从2022年4月到10月进行了后期测试分析,这是市场下滑的时期.
主要成果:
- 与偏斜学生t和EP方法相比,正常性假设策略产生了更高的财富增长.
- 所有的策略都导致了后期测试期间的最终财富损失.
- 投资组合3 (专注于大规模投资) 显示出最好的表现,其次是投资组合1,然后是投资组合2.
结论:
- 投资于由大资本化加密货币主导的投资组合可能会提供更高的安全性和性能.
- 通过包括大和小资本加密货币,可以增强多元化效益和风险调整后的回报.
- 由于加密货币固有的波动性,投资者必须仔细考虑风险,目标和风险承受能力.
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