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Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis

María de la O. González    University of Castilla-La Mancha, Spain    

Francisco Jareño    University of Castilla-La Mancha, Spain    

Frank S. Skinner    Brunel University London, UK    

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abstract

We investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the Covid-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks and bonds. Cryptocurrencies have the potential to control risk as most portfolios that include cryptocurrencies consistently experienced risk no greater than 50 basis points above the risk experienced by cash portfolios. However, there is no free lunch. While three asset portfolios can control risk, they also have a lower return per unit of risk.

Published
July 31, 2020
Accepted
June 30, 2020
Submitted
June 3, 2020
Language
EN
ISBN (EBOOK)
978-88-6969-442-4

Keywords: AltcoinBitcoinGoldCryptocurrencyPortfolio Optimization

Copyright: © 2020 María de la O. González, Francisco Jareño, Frank S. Skinner. This is an open-access work distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction is permitted, provided that the original author(s) and the copyright owner(s) are credited and that the original publication is cited, in accordance with accepted academic practice. The license allows for commercial use. No use, distribution or reproduction is permitted which does not comply with these terms.