Mean-Variance Tradeoff of Bitcoin Inverse Futures

We focus on the risk analysis of Bitcoin inverse futures, with variance or volatility taken as the risk measure. We derive explicit representations for the expectation and variance of the returns on Bitcoin inverse futures and obtain their first-order approximations. The empirical studies show that Bitcoin inverse futures are more (resp. less) risky than standard futures when the market is in backwardation (resp. contango). We further find that Bitcoin inverse futures bear higher downside risk, as measured by semi-deviation, than standard futures

MoreLess

Year of publication:	2020
Authors:	Deng, Jun
Other Persons:	Pan, Huifeng (contributor) ; Zhang, Shuyu (contributor) ; Zou, Bin (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Virtuelle Währung \| Virtual currency \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012840657