Portfolio insurance strategy in the cryptocurrency market

被引：6
|
作者：
Ko, Hyungjin [1 ,2 ]
Son, Bumho [3 ]
Lee, Jaewook [1 ]
机构：
[1] Seoul Natl Univ, Dept Ind Engn, 1 Gwanak Ro, Seoul, South Korea
[2] Seoul Natl Univ, Inst Engn Res, 1 Gwanak Ro, Seoul, South Korea
[3] Chung Ang Univ, 84 Heukseok Ro, Seoul, South Korea
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2024年 / 67卷
基金：
新加坡国家研究基金会;
关键词：
Cryptocurrency; Portfolio insurance strategy; Downside risk; Expected utility theory; Prospect theory; SAFE HAVEN; PERFORMANCE EVALUATION; PROSPECT-THEORY; HEDGE; BITCOIN; RISK; PERSISTENCE; MANAGEMENT; VARIANCE; AVERSION;
D O I：
10.1016/j.ribaf.2023.102135
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this study, we perform a comparative analysis of portfolio insurance strategies for the cryptocurrency market. We examine performance evaluation regarding the various downside risks under different economic conditions and explore the impact of investors' utility based on Expected Utility and Prospect Theory. We confirm evident economic gains using portfolio insurance in the cryptocurrency market and demonstrate reduced downside risks with a higher Omega ratio, implying reasonable risk-managed profit compared to buy-and-hold. Most importantly, portfolio insurance provides opportunities for a higher utility in cryptocurrency than in the traditional stock market, indicating a greater economic value of portfolio insurance.
引用
收藏
页数：15
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