Analyzing Portfolio Optimization in Cryptocurrency Markets: A Comparative Study of Short-Term Investment Strategies Using Hourly Data Approach

This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other opti...

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Bibliographic Details
Published in:Journal of risk and financial management 2024-03, Vol.17 (3), p.125
Main Authors: Sahu, Sonal, Ochoa Vázquez, José Hugo, Ramírez, Alejandro Fonseca, Kim, Jong-Min
Format: Article
Language:English
Subjects:
Banking industry
Construction
Crypto-currencies
Decision making
Digital currencies
Diversification
Energy consumption
International finance
Investment analysis
Investment policy
Investors
Kurtosis
Literature reviews
Optimization techniques
Portfolio management
Portfolio performance
Trends
Volatility
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Summary:This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical analysis reveals significant volatility, skewness, and kurtosis in cryptocurrencies, highlighting the need for sophisticated portfolio management techniques. We discover that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, especially in shorter-term investment horizons, delivering optimal returns to investors. Additionally, our findings emphasize the importance of dynamic portfolio management, stressing the necessity of regular rebalancing in the volatile cryptocurrency market. Overall, this study offers valuable insights into optimizing cryptocurrency portfolios, providing practical guidance for investors and portfolio managers navigating this rapidly evolving market landscape.
ISSN:1911-8074
1911-8066
1911-8074
DOI:10.3390/jrfm17030125