Table IV

Optimal portfolios with different cryptocurrencies

Panel A. Optimal portfolio no cryptocurrency
Return (bp)Std (bp)CV  
3.7627.607.335607  
Optimal Portfolio Weights (%)
DJIAVIXReal EstateBonds 
48.65624.38910.906346.0485
Panel B. Optimal portfolio with BTC
Return (bp)Std (bp)CV  
4.5730.186.597790  
Optimal portfolio weights (%)
BTCDJIAVIXReal EstateBonds
3.022947.04884.32980.761244.8373
Panel C. Optimal portfolio with XRP
Return (bp)Std (bp)CV  
4.7231.526.684067  
Optimal Portfolio Weights (%)
XRPDJIAVIXReal EstateBonds
1.473449.19664.50251.118943.7086
Panel D. Optimal portfolio with LTC
Return (bp)Std (bp)CV  
4.2129.166.926162  
Optimal Portfolio Weights (%)
LTCDJIAVIXReal EstateBonds
1.330147.89904.35860.869345.5430

Notes: Optimal portfolio characteristics with different cryptocurrencies are provided in the table. Panel A does not have any cryptocurrencies. Panel B is the portfolio with Bitcoin as the fifth asset class. Panel C is the portfolio with Ripple. Panel D is the portfolio with Litecoin. The return and standard deviation of the optimal portfolio are listed as basis points along with the coefficient of variation. Optimal portfolio weights are given as percentages. The sample period is from August 4, 2013 through January 17, 2019

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