@inproceedings{b07d0deb055742d6a984bb4979b6dc43,
title = "A Study of the Impact of Crypto Assets on Portfolio Risk-Return Characteristics Before and After COVID-19 Outbreak (2014–2020)",
abstract = "Following the COVID-19 outbreak, unlike the plunge in traditional mainstream assets, crypto assets have performed very well. Indices that reflect changes in the crypto assets market have also grown in recent years. However, in terms of cryptocurrency index-related studies, there are not many, and the period analyzed is mostly three years. This study analyzes historical data from July 2014 to April 2020 based on the cryptocurrency index CRIX and six other traditional mainstream assets to verify the impact of crypto assets on traditional portfolios. By using the DCC-GARCH model, this study finds out the low dynamic correlation between the crypto assets and traditional ones. Furtherly, by using the mean–variance model, Cornish-Fisher expansion and T-copula CVaR approach to check the frontier line and portfolio performance, this study finds out that crypto assets have the potential to improve the risk-return characteristics of traditional portfolios.",
keywords = "CRIX, Crypto assets, Portfolio analysis",
author = "Mengyao Liu and Hiroaki Jotaki and Hiroshi Takahashi",
note = "Publisher Copyright: {\textcopyright} 2021, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.; 15th International KES Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2021 ; Conference date: 14-06-2021 Through 16-06-2021",
year = "2021",
doi = "10.1007/978-981-16-2994-5_20",
language = "English",
isbn = "9789811629938",
series = "Smart Innovation, Systems and Technologies",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "243--254",
editor = "G. Jezic and J. Chen-Burger and M. Kusek and R. Sperka and Howlett, {R. J.} and Jain, {Lakhmi C.} and Jain, {Lakhmi C.} and Jain, {Lakhmi C.}",
booktitle = "Agents and Multi-Agent Systems",
}