About
Contact & Profiles
A5090972599
Research Areas
- Financial Markets and Investment Strategies
- Stochastic processes and financial applications
- Market Dynamics and Volatility
Hanyang University
2024
This study examines the impact of incorporating cryptocurrencies into global asset portfolios using ensemble approaches and a tracing strategy. We considered cryptocurrency ratios 1%, 3%, 5% for including cryptocurrencies. Benchmarking was performed classical portfolio optimization strategies such as minimum variance (MVP), maximum diversification (MDP), equal risk contribution (ERCP), hierarchical parity (HRP). The methods we evaluated were equally weighted (EWP), linear combination (LCP),...
10.1109/access.2024.3396495
article
EN
cc-by-nc-nd
IEEE Access
2024-01-01
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