What is it about?
Cryptocurrencies have become popular and are being considered a viable option for diversification, especially regarding emerging markets. We analyzed the performance of Black-Litterman (BL) portfolios under different portfolio management strategies, composed of both national and international assets, cryptocurrencies and fixed income, and compare to traditional Markowitz.
Featured Image
Photo by Steve Johnson on Unsplash
Why is it important?
The proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally counterparts, with emphasis on the risk parity portfolio. In other scenarios the naive portfolio was also a viable alternative.
Perspectives
We expect the article can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing.
Robert Iquiapaza
Universidade Federal de Minas Gerais
Read the Original
This page is a summary of: Diversification with international assets and cryptocurrencies using Black-Litterman, Revista de Gestão, April 2023, Emerald,
DOI: 10.1108/rege-05-2022-0080.
You can read the full text:
Contributors
The following have contributed to this page
