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- W3116073661 abstract "Using daily data of the 100 largest cryptocurrencies, we construct the efficient sorting portfolios and the quantile-based sorting portfolios based on ten factors. We find two price factors that can well predict cryptocurrency returns. The efficient sorting portfolios outperform the traditional quantile-based portfolios and the naive 1/N portfolios. The outperformance is largely due to the use of DCC-NL estimator, which captures the dynamic of covariance matrix and meanwhile addresses the curse of dimensionality. In addition, leverage constraints are important for cryptocurrency portfolios to control their risks." @default.
- W3116073661 created "2021-01-05" @default.
- W3116073661 creator A5025734100 @default.
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- W3116073661 date "2020-12-20" @default.
- W3116073661 modified "2023-10-16" @default.
- W3116073661 title "Large cryptocurrency-portfolios: efficient sorting with leverage constraints" @default.
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- W3116073661 doi "https://doi.org/10.1080/00036846.2020.1859457" @default.
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