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Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios

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Glas, T., Poddig, T. Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios. Vierteljahrshefte zur Wirtschaftsforschung, 87(3), 107-128. https://doi.org/10.3790/vjh.87.3.107
Glas, Tobias N. and Poddig, Thorsten "Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios" Vierteljahrshefte zur Wirtschaftsforschung 87.3, 2018, 107-128. https://doi.org/10.3790/vjh.87.3.107
Glas, Tobias N./Poddig, Thorsten (2018): Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios, in: Vierteljahrshefte zur Wirtschaftsforschung, vol. 87, iss. 3, 107-128, [online] https://doi.org/10.3790/vjh.87.3.107

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Kryptowährungen in der Asset-Allokation: Eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios

Glas, Tobias N. | Poddig, Thorsten

Vierteljahrshefte zur Wirtschaftsforschung, Vol. 87 (2018), Iss. 3 : pp. 107–128

5 Citations (CrossRef)

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Article Details

Author Details

Tobias N. Glas, Lehrstuhl für ABWL, Universität Bremen.

Thorsten Poddig, Lehrstuhl für ABWL, Universität Bremen.

Cited By

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    2022

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    Asset Pricing in Digital Assets

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    2022

    https://doi.org/10.1007/978-3-030-95695-0_6 [Citations: 0]

References

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  32. Colianni, S., S. Rosales und M. Signorotti (2015): Algorithmic trading of cryptocurrency based on twitter sentiment analysis. Working Paper.  Google Scholar
  33. Glaser, F., K. Zimmermann, M. Haferkorn, M. C. Weber und M. Siering (2014): Bitcoin – asset or currency? Revealing users' hidden Intentions. ECIS 2014. Tel Aviv.  Google Scholar
  34. Varmaz, A. und N. Varmaz (2018): Eine empirische Analyse von Initial Coin Offerings (ICO). Vierteljahrshefte zur Wirtschaftsforschung, 87 (3), 129–150.  Google Scholar
  35. Trimborn, S. und W. K. Härdle (2016): CRIX an Index for Blockchain Based Currencies. Working Paper.  Google Scholar
  36. Edwards, F. R. und J. Liew (1999): Hedge funds versus managed futures as asset classes. The Journal of Derivatives, 45–64.  Google Scholar
  37. El Bahrawy, A., L. Alessandretti, A. Kandler, R. Pastor-Satorras und A. Baronchelli (2017): Evolutionary dynamics of the cryptocurrency market. Royal Society Open Science, 4.  Google Scholar
  38. Ferson, W. E., S. R. Foerster und D. B. Keim (1993): General tests of latent variable models and mean-variance spanning. The Journal of Finance, 48 (1), 131–156.  Google Scholar
  39. Ince, O.S. und R.B. Porter (2006): Individual equity return data from Thomson Datastream: Handle with care! The Journal of Financial Research, 29 (4), 463–479.  Google Scholar
  40. Kan, R. und G. Zhou (2012): Tests of mean-variance spanning. Annals of Economics and Finance, 13 (1), 145–193.  Google Scholar
  41. Bekaert, G. und M. S. Urias (1996): Diversification, integration and emerging market closed-end funds. The Journal of Finance, 51(3), S. 835-869.  Google Scholar
  42. Rohrbach, J., S. Suremann und J. Osterrieder (2017): Momentum and trend following trading strategies for currencies revisited – combining academia and industry. Working Paper.  Google Scholar
  43. Hansen, L. P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50 (4), 1029–1054.  Google Scholar
  44. Agarwal, V. und N. Y. Naik (2000): On taking the „alternative“ route: Risks, rewards, style and performance persistence of hedge funds. Journal of Alternative Investments, 2 (4), 6–23.  Google Scholar
  45. Cao, J., R. Fu und Y. Jin (2017): International diversification through iShares and their rivals. Journal of Risk, 19 (3), 25–55.  Google Scholar
  46. Schneeweis, T. und G. Martin (2001): The benefits of hedge funds: Asset allocation for the institutional investor. Journal of Alternative Investments, 4 (3), 7–26.  Google Scholar
  47. Rosenfeld, M. (2011): Analysis of bitcoin pooled mining reward systems. Working Paper.  Google Scholar
  48. Chuen, D. L., L. Guo und Y. Wang (2018): Cryptocurrency: A new investment opportunity? Journal of Alternative Investments, 20 (3), 16–40.  Google Scholar
  49. Nakamato, S. (2008): Bitcoin: A peer-to-peer electronic cash system. Working Paper.  Google Scholar
  50. Markowitz, H. (1952): Portfolio selection. The Journal of Finance, 7 (1), 77–91.  Google Scholar
  51. Maillard, S., T. Roncalli und J. Teïletche (2010): The properties of equally weighted risk contribution portfolios. Journal of Portfolio Management, 36 (4), 60–70.  Google Scholar
  52. Karavas, V. N. (2000): Alternative investments in the institutional portfolio. Journal of Alternative Investments, 3 (3), 11–25.  Google Scholar
  53. Hansen, L.P. und R. Jagannathan (1991): Implications of security market data for models of dynamic economies. Journal of Political Economy, 99 (2), 225–262.  Google Scholar
  54. Huberman, G.und S. Kandel (1987): Mean-variance spanning. The Journal of Finance, 42 (4), 873–888.  Google Scholar
  55. Hubrich, S. (2017): Know when to Hodl Em, know when to Fodl Em: An investigation of factor based investing in the cryptocurrency space. Working Paper.  Google Scholar
  56. Varmaz, A. und S. Abée (2018): Sind digitale Währungen gewöhnliche Investitionsobjekte? Vierteljahrshefte zur Wirtschaftsforschung, 87 (3), 83–105.  Google Scholar
  57. Glas, T. N. (2019): Investments in cryptocurrencies: Handle with care! Journal of Alternative Investments (im Erscheinen).  Google Scholar
  58. Colianni, S., S. Rosales und M. Signorotti (2015): Algorithmic trading of cryptocurrency based on twitter sentiment analysis. Working Paper.  Google Scholar
  59. Glaser, F., K. Zimmermann, M. Haferkorn, M. C. Weber und M. Siering (2014): Bitcoin – asset or currency? Revealing users' hidden Intentions. ECIS 2014. Tel Aviv.  Google Scholar
  60. Varmaz, A. und N. Varmaz (2018): Eine empirische Analyse von Initial Coin Offerings (ICO). Vierteljahrshefte zur Wirtschaftsforschung, 87 (3), 129–150.  Google Scholar
  61. Trimborn, S. und W. K. Härdle (2016): CRIX an Index for Blockchain Based Currencies. Working Paper.  Google Scholar
  62. Edwards, F. R. und J. Liew (1999): Hedge funds versus managed futures as asset classes. The Journal of Derivatives, 45–64.  Google Scholar
  63. El Bahrawy, A., L. Alessandretti, A. Kandler, R. Pastor-Satorras und A. Baronchelli (2017): Evolutionary dynamics of the cryptocurrency market. Royal Society Open Science, 4.  Google Scholar
  64. Ferson, W. E., S. R. Foerster und D. B. Keim (1993): General tests of latent variable models and mean-variance spanning. The Journal of Finance, 48 (1), 131–156.  Google Scholar
  65. Ince, O.S. und R.B. Porter (2006): Individual equity return data from Thomson Datastream: Handle with care! The Journal of Financial Research, 29 (4), 463–479.  Google Scholar
  66. Kan, R. und G. Zhou (2012): Tests of mean-variance spanning. Annals of Economics and Finance, 13 (1), 145–193.  Google Scholar
  67. Bekaert, G. und M. S. Urias (1996): Diversification, integration and emerging market closed-end funds. The Journal of Finance, 51(3), S. 835-869.  Google Scholar
  68. Rohrbach, J., S. Suremann und J. Osterrieder (2017): Momentum and trend following trading strategies for currencies revisited – combining academia and industry. Working Paper.  Google Scholar
  69. Hansen, L. P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50 (4), 1029–1054.  Google Scholar
  70. Agarwal, V. und N. Y. Naik (2000): On taking the „alternative“ route: Risks, rewards, style and performance persistence of hedge funds. Journal of Alternative Investments, 2 (4), 6–23.  Google Scholar
  71. Cao, J., R. Fu und Y. Jin (2017): International diversification through iShares and their rivals. Journal of Risk, 19 (3), 25–55.  Google Scholar
  72. Schneeweis, T. und G. Martin (2001): The benefits of hedge funds: Asset allocation for the institutional investor. Journal of Alternative Investments, 4 (3), 7–26.  Google Scholar
  73. Rosenfeld, M. (2011): Analysis of bitcoin pooled mining reward systems. Working Paper.  Google Scholar
  74. Chuen, D. L., L. Guo und Y. Wang (2018): Cryptocurrency: A new investment opportunity? Journal of Alternative Investments, 20 (3), 16–40.  Google Scholar
  75. Nakamato, S. (2008): Bitcoin: A peer-to-peer electronic cash system. Working Paper.  Google Scholar
  76. Markowitz, H. (1952): Portfolio selection. The Journal of Finance, 7 (1), 77–91.  Google Scholar
  77. Maillard, S., T. Roncalli und J. Teïletche (2010): The properties of equally weighted risk contribution portfolios. Journal of Portfolio Management, 36 (4), 60–70.  Google Scholar
  78. Karavas, V. N. (2000): Alternative investments in the institutional portfolio. Journal of Alternative Investments, 3 (3), 11–25.  Google Scholar

Abstract

This article shows that the inclusion of cryptocurrencies to a portfolio consisting of several German asset classes should be viewed with caution. Due to a high realized volatility, cryptocurrencies are only marginally included in a reference portfolio constructed by using a Markowitz and a risk-parity approach. At the same time, the inclusion of cryptocurrencies is not supported by mean-variance-spanning tests. Furthermore, the tradability of this new asset class and its data availability pose additional problems such that our disappointing results may be even biased in favor of cryptocurriencies.