Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets
The authors demonstrate the construction of an optimal dynamic portfolio of cryptoassets that minimizes either return variance or conditional value at risk. One can view such a portfolio as a minimum-risk index for this asset class. They carefully backtested the dynamic portfolio model and developed a fair valuation model for …