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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |