The cryptocurrency participation puzzle

We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought cryptocurren...

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Bibliographic Details
Main Authors: DUCHIN, Ran, SOLOMON, David H., Jun TU, WANG, Xi
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/7113
https://ink.library.smu.edu.sg/context/lkcsb_research/article/8112/viewcontent/SSRN_id4258515.pdf
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Institution: Singapore Management University
Language: English