Table VI

Robustness: no short-selling and the Bitcoin crash

Panel A. No short-selling optimal portfolio
Return (bp)Std (bp)CV    
4.5729.946.549303    
No shot-selling optimal portfolio weights (%)
BTCXRPLTCDJIAVIXReal EstateBonds
2.09110.89130.000043.62043.87650.000049.5208
Panel B. Cryptocurrency crash: before and after
Before crash optimal portfolio weights (%) (August 2013–December 2017)
BTCXRPLTCDJIAVIXReal EstateBonds
2.31320.62620.257644.99373.6031−1.018149.2242
After crash optimal portfolio weights (%) (January 2018–January 2019)
BTCXRPLTCDJIAVIXReal EstateBonds
−2.1030−10.713316.4655−109.8325−15.1745−3.6239224.9817

Notes: Various robustness test results are reported. Panel A is about markets and time periods where short-selling may not be possible. The optimal portfolio characteristics with different cryptocurrencies are provided in this panel where short-selling is prohibited. Panel B is about the Bitcoin and cryptocurrency market crash in the beginning of 2018 from January to February. Before crash optimal portfolio weights for the subsample from August 2013 through December 2017 are followed by after crash optimal portfolio weights for the subsample from January 2018 through January 2019. Optimal portfolio weights are given as percentages. BTC is Bitcoin, XRP is Ripple, LTC is Litecoin, DJIA is Dow Jones Industrial Average Index, Real Estate is the Vanguard Real Estate Index and Bonds is the Vanguard Total Bond Market Index

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