The cryptocurrency participation puzzle

• Main Authors: DUCHIN, Ran, SOLOMON, David H., Jun TU, WANG, Xi
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2022
• 主題: Cryptocurrency; Bitcoin; Bayesian Portfolio Theory; Portfolio Choice; Non-Participation; Beliefs; Investment Frictions; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/7113; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8112/viewcontent/SSRN_id4258515.pdf
• 機構: Singapore Management University

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...