Matches in SemOpenAlex for { <https://semopenalex.org/work/W3208002188> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3208002188 abstract "Regime-switching models are frequently used to explain the tendency of financial markets to change their behavior, often abruptly. Such changes usually translate to structural breaks in the average means and volatilities of financial indicators, and partition their time-series into distinct segments, each with unique statistical properties. In this paper, we address the problem of identifying the presence of such regimes in the constituents of diversified, cryptoasset-containing portfolios, ultimately to define high-risk market conditions and assess portfolio resilience. For each portfolio component, we first consider a Gaussian Hidden Markov Model (HMM) in order to extract intermediate trend-related states, conditional on the weekly returns distributions. We further apply a Markov-switching GARCH model to the demeaned daily returns to describe changes in the conditional variance dynamics and isolate volatility-related states. We combine the former approaches to generate a number of price paths for each constituent, simulate the portfolio allocation strategy and obtain a risk profile for each combination of the trend and volatility regimes. We apply the proposed method to the CoinShares Gold and Cryptoassets Index, a diversified, monthly-rebalanced index which includes two main risk-weighted components; a cryptoassets basket and physical gold. Results demonstrate an overall stable risk-reward profile when compared against the individual components and suggest a superior performance in terms of Omega ratio for investors that target wealth preservation and moderate annual returns. We detect underperformance regions in bear-low volatility market regimes, where diversification is hindered." @default.
- W3208002188 created "2021-11-08" @default.
- W3208002188 creator A5009954754 @default.
- W3208002188 creator A5036896286 @default.
- W3208002188 creator A5079496923 @default.
- W3208002188 date "2021-08-25" @default.
- W3208002188 modified "2023-09-27" @default.
- W3208002188 title "Performance of the CoinShares Gold and Cryptoassets Index Under Different Market Regimes" @default.
- W3208002188 cites W1041257321 @default.
- W3208002188 cites W1542184596 @default.
- W3208002188 cites W1880344393 @default.
- W3208002188 cites W1963607300 @default.
- W3208002188 cites W1979575715 @default.
- W3208002188 cites W1999996900 @default.
- W3208002188 cites W2003636010 @default.
- W3208002188 cites W2036636216 @default.
- W3208002188 cites W2074812030 @default.
- W3208002188 cites W2093135704 @default.
- W3208002188 cites W2157895285 @default.
- W3208002188 cites W2162656107 @default.
- W3208002188 cites W2169533279 @default.
- W3208002188 cites W2332498091 @default.
- W3208002188 cites W2613772044 @default.
- W3208002188 cites W2759609844 @default.
- W3208002188 cites W2789502534 @default.
- W3208002188 cites W2886644496 @default.
- W3208002188 cites W2887232953 @default.
- W3208002188 cites W2887883206 @default.
- W3208002188 cites W2896067967 @default.
- W3208002188 cites W2976873048 @default.
- W3208002188 cites W2980408904 @default.
- W3208002188 cites W3013304964 @default.
- W3208002188 cites W3091170825 @default.
- W3208002188 cites W3123534519 @default.
- W3208002188 cites W3125361290 @default.
- W3208002188 cites W3194805959 @default.
- W3208002188 cites W3204741519 @default.
- W3208002188 doi "https://doi.org/10.21428/58320208.ddba2ded" @default.
- W3208002188 hasPublicationYear "2021" @default.
- W3208002188 type Work @default.
- W3208002188 sameAs 3208002188 @default.
- W3208002188 citedByCount "0" @default.
- W3208002188 crossrefType "journal-article" @default.
- W3208002188 hasAuthorship W3208002188A5009954754 @default.
- W3208002188 hasAuthorship W3208002188A5036896286 @default.
- W3208002188 hasAuthorship W3208002188A5079496923 @default.
- W3208002188 hasBestOaLocation W32080021882 @default.
- W3208002188 hasConcept C136764020 @default.
- W3208002188 hasConcept C144133560 @default.
- W3208002188 hasConcept C162324750 @default.
- W3208002188 hasConcept C2777382242 @default.
- W3208002188 hasConcept C39432304 @default.
- W3208002188 hasConcept C41008148 @default.
- W3208002188 hasConceptScore W3208002188C136764020 @default.
- W3208002188 hasConceptScore W3208002188C144133560 @default.
- W3208002188 hasConceptScore W3208002188C162324750 @default.
- W3208002188 hasConceptScore W3208002188C2777382242 @default.
- W3208002188 hasConceptScore W3208002188C39432304 @default.
- W3208002188 hasConceptScore W3208002188C41008148 @default.
- W3208002188 hasLocation W32080021881 @default.
- W3208002188 hasLocation W32080021882 @default.
- W3208002188 hasOpenAccess W3208002188 @default.
- W3208002188 hasPrimaryLocation W32080021881 @default.
- W3208002188 hasRelatedWork W1502198272 @default.
- W3208002188 hasRelatedWork W1986173648 @default.
- W3208002188 hasRelatedWork W1998718379 @default.
- W3208002188 hasRelatedWork W2017540542 @default.
- W3208002188 hasRelatedWork W2054677056 @default.
- W3208002188 hasRelatedWork W2073254488 @default.
- W3208002188 hasRelatedWork W2567268489 @default.
- W3208002188 hasRelatedWork W2899084033 @default.
- W3208002188 hasRelatedWork W2936184523 @default.
- W3208002188 hasRelatedWork W2982023230 @default.
- W3208002188 isParatext "false" @default.
- W3208002188 isRetracted "false" @default.
- W3208002188 magId "3208002188" @default.
- W3208002188 workType "article" @default.