We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors or to the returns of currencies and...

This paper aims to find the effectiveness of Cryptocurrency on well-formed portfolio with assets like Commodities, Exchange Traded Fund (ETFs), Stock assets and currency value of INR. There are several ways to determine the effectiveness in diversification. In this paper we use SOLVER, Modern...

We consider the performance of cryptocurrencies in the light of fundamental asset pricing and portfolio theory. We observe how a traditional focus on reducing asset return volatility with Markowitz diversification actually misses the significance of such volatility for growth. The recognition...

The hedging and safe haven properties of Bitcoin for the US dollar are investigated across a variety of investment horizons. Our findings reveal that (i) Bitcoin acts as a weak hedge for all currency pairs examined, with some evidence of negative average dependency for Euro, Swiss Franc and...

Many papers in recent years have examined the benefits of adding alternative assets to traditional portfolios containing stocks and bonds. Bitcoin has emerged as a new alternative investment for investors which has attracted much attention from the media and investors alike. However relatively...

A simple look at cryptoassets’ historical can lead us think that in recent years most have followed Bitcoin’s wake. If so, it would be very difficult to build an exposure to this market without being highly exposed to Bitcoin, and on the other hand a portfolio with many cryptos poses a great...

We employ a repertoire of machine learning models to explore the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains, those that account for nonlinearities and interactions fare the best. The return predictability derives mainly...