Benefits of sectoral cryptocurrency portfolio optimization

This research paper formally identifies and describes the benefits of sectoral cryptocurrency classification portfolio optimization and its performance

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Zikovic, Sasa (2025). Benefits of sectoral cryptocurrency portfolio optimization. Q2 ecosystem. Available at https://quantinar.com/course/1051/benefits-of-sectoral-cryptocurrency-portfolio-optimization or http://dx.doi.org/10.24818/IDA-CL/2025.188.

@misc{zikovic2025, author = {Zikovic, Sasa}, title = {Benefits of sectoral cryptocurrency portfolio optimization}, year = {2025}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2025.188.}, url = {https://quantinar.com/course/1051/benefits-of-sectoral-cryptocurrency-portfolio-optimization} }
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	Benefits of sectoral cryptocurrency portfolio optimization (pdf)	3.11 M
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When creating a portfolio, investor should consider the dynamics of the income ratio of the portfolio asset selected in order to identify and quantify the taken risk of the investment. This research paper will formally identify and describe the benefits of sectoral cryptocurrency classification portfolio optimization and its performance. Six optimization targets will be formed: MinVar, MinCVaR, MaxSR, MaxSTARR, MaxUT and MaxMean. We compare the obtained portfolios with the performance of the CRIX index (representing the crypto market) over the same period. Our results show that five of the six portfolio strategies performed better if they included sectoral cryptocurrencies namely from financial, exchange and business services sectors.