Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-23853Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kaya, Orcun | - |
| dc.contributor.author | Mostowfi, Mehdi | - |
| dc.date.accessioned | 2022-01-07T12:00:27Z | - |
| dc.date.available | 2022-01-07T12:00:27Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.issn | 1544-6123 | de_CH |
| dc.identifier.uri | https://digitalcollection.zhaw.ch/handle/11475/23853 | - |
| dc.description.abstract | Managing extreme price fluctuations in cryptocurrency markets are of central importance for investors in this market segment. Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects cryptocurrencies based on their historical volatility and is complemented by a simple stop-loss rule. Our results reveal that investing in highly concentrated low volatility cryptocurrency portfolios with six to twelve months volatility look-back and holding period generate statistically significant excess returns. By including a simple stop-loss rule, the downside risk of cryptocurrency portfolios is reduced markedly, and the Sharpe ratios are improved significantly. | de_CH |
| dc.language.iso | en | de_CH |
| dc.publisher | Elsevier | de_CH |
| dc.relation.ispartof | Finance Research Letters | de_CH |
| dc.rights | https://creativecommons.org/licenses/by-nc-nd/4.0/ | de_CH |
| dc.subject | Cryptocurrency | de_CH |
| dc.subject | Portfolio optimization | de_CH |
| dc.subject | Volatility | de_CH |
| dc.subject | Stop-loss rule | de_CH |
| dc.subject.ddc | 332.6: Investition | de_CH |
| dc.title | Low-volatility strategies for highly liquid cryptocurrencies | de_CH |
| dc.type | Beitrag in wissenschaftlicher Zeitschrift | de_CH |
| dcterms.type | Text | de_CH |
| zhaw.departement | School of Management and Law | de_CH |
| zhaw.organisationalunit | Institut für Financial Management (IFI) | de_CH |
| dc.identifier.doi | 10.1016/j.frl.2021.102422 | de_CH |
| dc.identifier.doi | 10.21256/zhaw-23853 | - |
| zhaw.funding.eu | No | de_CH |
| zhaw.issue | 102422 | de_CH |
| zhaw.originated.zhaw | Yes | de_CH |
| zhaw.publication.status | publishedVersion | de_CH |
| zhaw.volume | 46 | de_CH |
| zhaw.publication.review | Peer review (Publikation) | de_CH |
| zhaw.webfeed | W: Spitzenpublikation | de_CH |
| zhaw.author.additional | No | de_CH |
| zhaw.display.portrait | Yes | de_CH |
| Appears in collections: | Publikationen School of Management and Law | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2022_Kaya-Mostowfi_Low-volatility-strategies-cryptocurrencies_frl.pdf | 456.67 kB | Adobe PDF |  View/Open |
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Kaya, O., & Mostowfi, M. (2021). Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters, 46(102422). https://doi.org/10.1016/j.frl.2021.102422
Kaya, O. and Mostowfi, M. (2021) ‘Low-volatility strategies for highly liquid cryptocurrencies’, Finance Research Letters, 46(102422). Available at: https://doi.org/10.1016/j.frl.2021.102422.
O. Kaya and M. Mostowfi, “Low-volatility strategies for highly liquid cryptocurrencies,” Finance Research Letters, vol. 46, no. 102422, 2021, doi: 10.1016/j.frl.2021.102422.
KAYA, Orcun und Mehdi MOSTOWFI, 2021. Low-volatility strategies for highly liquid cryptocurrencies. Finance Research Letters. 2021. Bd. 46, Nr. 102422. DOI 10.1016/j.frl.2021.102422
Kaya, Orcun, and Mehdi Mostowfi. 2021. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters 46 (102422). https://doi.org/10.1016/j.frl.2021.102422.
Kaya, Orcun, and Mehdi Mostowfi. “Low-Volatility Strategies for Highly Liquid Cryptocurrencies.” Finance Research Letters, vol. 46, no. 102422, 2021, https://doi.org/10.1016/j.frl.2021.102422.
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