Mean Variance Optimization is performed on a test basket of 15 cryptocurrencies to create an optimal portfolio that lies on the Efficient Frontier. Several practical portfolio scenarios are examined.
Crypto Anomalies – A Closer Look
“No Pain, No Gain!” The Ulcer Index for Cryptos…
TheMartin Ratio for Cryptocurrencies. A question that is often asked is: "Given the very high volatility in cryptocurrencies ( 30 day standard deviation ranges have historically been between 60~600%!) which one is a better investment on a relative risk-return basis?"
