國立政治大學統計學系學術演講
《加密貨幣與能源轉型》
【專題演講 I】《加密貨幣與能源轉型》
主講人：Prof. Wolfgang Karl Härdle
柏林洪堡大學經濟商學院、玉山學者
題 目：Investing with Cryptocurrencies – Evaluating Their Potential for Portfolio Allocation Strategies
時 間：民國111年9月26日 (星期一) 下午13：40-14:40
地 點：國立政治大學逸仙樓050101教室
摘 要：
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk management. We investigate the utility gains for different types of investors when they consider cryptocurrencies as an addition to their portfolio of traditional assets. We consider risk-averse, return-seeking as well as diversification-preferring investors who trade along with different allocation frequencies, namely daily, weekly or monthly. Out-of-sample performance and diversification benefits are studied for the most popular portfolio-construction rules, including mean-variance optimization, risk-parity, and maximum-diversification strategies, as well as combined strategies. To account for low liquidity in CC markets, we incorporate liquidity constraints via the LIBRO method. Our results show that CCs can improve the risk-return profile of portfolios. In particular, a maximum-diversification strategy (maximizing the Portfolio Diversification Index, PDI) draws appreciably on CCs, and spanning tests clearly indicate that CC returns are non-redundant additions to the investment universe. Though our analysis also shows that illiquidity of CCs potentially reverses the results.
Keywords: Cryptocurrency, CRIX, Investments, Portfolio Management, Asset Classes, Blockchain, Bitcoin, Altcoins, DLT主辦單位：統計學系
協辦單位：創新國際學院、台灣研究中心、風險與保險研究中心
線上連結網址：https://nccuc.webex.com/nccuc/j.php?MTID=ma72064c33b05433f8474443aa41606d0
