Petukhina, Alla; Sprünken, Erin - In: Digital Finance 3 (2021) 1, pp. 45-79
in portfolio construction. In this paper with a set of classical and modern measurement tools, we assess the out …-of-sample performance of eight portfolio allocation strategies relative to the naive 1/N rule applied to traditional and crypto … cryptocurrencies, mean–variance strategies underperform the benchmark portfolio. In contrast, CVaR optimization tends to outperform the …