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In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper, criteria based on historical cryptocurrency data are defined in order to characterize returns and risks in different ways, in short time windows (7 and 15 days); then, the importance of criteria is analyzed by various methods and their impact is evaluated. Finally, the future plan is projected to use the knowledge obtained for the selection of investment portfolios by applying multi-criteria methods.
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of Markowitzs p
Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor want to realise the position suggested by the optimal portfolios he/she needs to estimate the unknown parameters and to acc
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrives. In particular, we look at two online algorithms
We develop a simple stock selection model to explain why active equity managers tend to underperform a benchmark index. We motivate our model with the empirical observation that the best performing stocks in a broad market index often perform much be
How cooperation emerges in human societies is still a puzzle. Evolutionary game theory has been the standard framework to address this issue. In most models, every individual plays with all others, and then reproduce and die according to what they ea