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  • Integrating crypto assets into portfolio management : a comprehensive analysis across asset allocation techniques
    Publication . Pramel, Thomas; Guarniero, Pieralberto
    The increased relevance of crypto assets raises questions regarding their role in traditional portfolio optimization. This thesis investigates whether incorporating the Crypto Currency Index 30 (CCI30) or Bitcoin (BTC) enhances portfolio performance across several asset spaces and portfolio optimization techniques. The applied techniques include risk-based, return-based, and utility-based approaches. Furthermore, this thesis investigates whether crypto-inclusion effects are time-varying or constant and whether there is a superior optimization technique or superior design choices (e.g. different windowing-approaches) for crypto-inclusion. The portfolios are constructed purely out-of-sample based on daily return data from 2015 to 2024. The final assessment uses statistical comparisons based on block-bootstrapping and fixed-effects panel regression analyses. The results show that crypto assets generally improve performance. Their inclusion increases risk-adjusted returns and utility measures, but also increases risk measures substantially, with benefits differing across strategies. The simple 1/N, maximum diversification and utility-based approaches display the strongest gains. Furthermore, crypto-inclusion benefits exhibit substantial time variation. In both applied subperiods - pre- and post-COVID - adding crypto leads to alternating periods of over- and underperformance compared to traditional portfolios. This pattern suggests that crypto assets act as performance amplifiers, magnifying both positive and negative performances. Overall, crypto inclusion improves performance, as the positive amplification outweighs its negative counterpart. This thesis contributes to existing literature by comprehensively evaluating crypto-inclusion effects over an extended period and by systematically comparing various strategies and design choices. Future research could explore dynamic optimization approaches or focus on explaining the time-varying nature of crypto-inclusion benefits.
    2025-10-17Dissertação de mestrado Acesso aberto Ver mais