The cryptocurrency participation puzzle

• المؤلفون الرئيسيون: DUCHIN, Ran, SOLOMON, David H., Jun TU, WANG, Xi
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2022
• الموضوعات: Cryptocurrency; Bitcoin; Bayesian Portfolio Theory; Portfolio Choice; Non-Participation; Beliefs; Investment Frictions; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/7113; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8112/viewcontent/SSRN_id4258515.pdf
• المؤسسة: 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...