{"title":"Management of investment hybrid portfolio","authors":"P. Hrytsiuk, T. Babych, O. Kardash","doi":"10.1504/ijbpm.2021.10039439","DOIUrl":null,"url":null,"abstract":"This research is devoted to the investment portfolio management. In the paper, we analysed the daily returns of the six most popular and profitable cryptocurrencies. To manage the risk, it is proposed to create a 'hybrid' portfolio by including stocks of one or two stable companies in the cryptocurrency portfolio. It is shown that the asset returns are not normally distributed, but with good precision follow the Cauchy distribution and the Laplace one. The risk assessments were derived by analytical expressions for the Cauchy and Laplace distribution functions respectively, using VaR technique. According to the correlation matrix between the cryptocurrencies returns and stocks returns, four investment portfolios were examined. The research has shown that the highest investment efficiency can be achieved by adding stocks to the cryptocurrency portfolio. The study of new statistics has made it possible to assess the impact of economic crisis on the return and risk of investment assets.","PeriodicalId":44434,"journal":{"name":"International Journal of Business Performance Management","volume":" ","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2021-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Business Performance Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijbpm.2021.10039439","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MANAGEMENT","Score":null,"Total":0}
引用次数: 0
Abstract
This research is devoted to the investment portfolio management. In the paper, we analysed the daily returns of the six most popular and profitable cryptocurrencies. To manage the risk, it is proposed to create a 'hybrid' portfolio by including stocks of one or two stable companies in the cryptocurrency portfolio. It is shown that the asset returns are not normally distributed, but with good precision follow the Cauchy distribution and the Laplace one. The risk assessments were derived by analytical expressions for the Cauchy and Laplace distribution functions respectively, using VaR technique. According to the correlation matrix between the cryptocurrencies returns and stocks returns, four investment portfolios were examined. The research has shown that the highest investment efficiency can be achieved by adding stocks to the cryptocurrency portfolio. The study of new statistics has made it possible to assess the impact of economic crisis on the return and risk of investment assets.
期刊介绍：
The most distinctive characteristic of a high performance organisation is a strong commitment to explore innovative thinking as a means of delivering a breakthrough in performance. IJBPM aims to examine both hard and soft perspectives in managing business performance, in both public and corporate organisations. Topics covered include: -Business strategy and business process re-engineering Corporate culture- Education and training, organisational learning- Ethical and environmental issues- Intellectual assets management- Innovation and knowledge management- Internet/intranet- Operations strategy- Outsourcing and strategic alliances- Modelling techniques- Performance benchmarking and measurement- Productivity and quality- Public sector management- Technological change and impact- Virtual team working.
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