Optimal portfolio with cryptocurrencies
| Panel A. Optimal portfolio | |||||||
| Return (bp) | Std (bp) | CV | |||||
| 5.10 | 32.37 | 6.345590 | |||||
| Panel B. Optimal portfolio weights (%) | |||||||
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds | |
| 2.5631 | 1.0752 | −0.1375 | 47.7659 | 4.4248 | 0.9423 | 43.3662 | |
| Panel C. Optimal portfolio variance-covariance matrix | |||||||
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds | |
| BTC | 0.002086 | 0.001342 | 0.002323 | 0.000019 | −0.000215 | 0.000015 | −0.000001 |
| XRP | 0.001342 | 0.008733 | 0.002419 | 0.000016 | −0.000101 | 0.000016 | 0.000007 |
| LTC | 0.002323 | 0.002419 | 0.005782 | 0.000021 | −0.000187 | 0.000015 | −0.000001 |
| DJIA | 0.000019 | 0.000016 | 0.000021 | 0.000068 | −0.000548 | 0.000042 | −0.000005 |
| VIX | −0.000215 | −0.000101 | −0.000187 | −0.000548 | 0.007462 | −0.000368 | 0.000045 |
| Real estate | 0.000015 | 0.000016 | 0.000015 | 0.000042 | −0.000368 | 0.000087 | 0.000003 |
| Bonds | −0.000001 | 0.000007 | −0.000001 | −0.000005 | 0.000045 | 0.000003 | 0.000004 |
| Return (bp) | Std (bp) | CV | |||||
| 5.10 | 32.37 | 6.345590 | |||||
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds | |
| 2.5631 | 1.0752 | −0.1375 | 47.7659 | 4.4248 | 0.9423 | 43.3662 | |
| BTC | XRP | LTC | DJIA | VIX | Real estate | Bonds | |
| BTC | 0.002086 | 0.001342 | 0.002323 | 0.000019 | −0.000215 | 0.000015 | −0.000001 |
| XRP | 0.001342 | 0.008733 | 0.002419 | 0.000016 | −0.000101 | 0.000016 | 0.000007 |
| LTC | 0.002323 | 0.002419 | 0.005782 | 0.000021 | −0.000187 | 0.000015 | −0.000001 |
| DJIA | 0.000019 | 0.000016 | 0.000021 | 0.000068 | −0.000548 | 0.000042 | −0.000005 |
| VIX | −0.000215 | −0.000101 | −0.000187 | −0.000548 | 0.007462 | −0.000368 | 0.000045 |
| Real estate | 0.000015 | 0.000016 | 0.000015 | 0.000042 | −0.000368 | 0.000087 | 0.000003 |
| Bonds | −0.000001 | 0.000007 | −0.000001 | −0.000005 | 0.000045 | 0.000003 | 0.000004 |
Notes: Optimal portfolio characteristics with the inclusion of cryptocurrency assets are provided. In Panel A, the return and standard deviation of the optimal portfolio are listed as basis points along with the coefficient of variation. Panel B optimal weights of the seven asset classes are given as percentages. Finally, Panel C is optimal portfolio risk matrix, the variance covariance matrix. The sample period is from August 4, 2013 through January 17, 2019