Hierarchical risk parity portfolio design of traditional risky assets and cryptocurrencies in the Philippines
The Philippines saw the heightened interest of the investing public in cryptocurrencies when digital assets began gaining popularity, especially during the COVID-19 pandemic. This study introduces a portfolio of bonds, stocks, and foreign currency in the Philippines, combined with cryptocurrencies,...
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| 格式: | text |
| 語言: | English |
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Animo Repository
2023
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| 在線閱讀: | https://animorepository.dlsu.edu.ph/etdm_finman/9 https://animorepository.dlsu.edu.ph/context/etdm_finman/article/1010/viewcontent/Hierarchical_Risk2_Parity_Portfolio_Design_of_Traditional_Risky_As_Redacted.pdf |
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| 機構: | De La Salle University |
| 語言: | English |
| 總結: | The Philippines saw the heightened interest of the investing public in cryptocurrencies when digital assets began gaining popularity, especially during the COVID-19 pandemic. This study introduces a portfolio of bonds, stocks, and foreign currency in the Philippines, combined with cryptocurrencies, by applying a method based on graph theory and machine learning techniques – the hierarchical risk parity approach. An out-of-sample comparison with traditional portfolio strategies shows that the hierarchical risk parity portfolio outperforms in terms of risk-adjusted return. The identified optimal portfolio reveals that only a small portion of the investment shall be allocated to cryptocurrencies, and much of the capital should still be with conventional assets. |
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