Investing with cryptocurrencies: A liquidity constrained investment approach

• Main Authors: TRIMBORN, Simon, LI, Mingyang, HARDLE, Wolfgang Karl
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Crypto-Currency; CRIX; Portfolio Investment; Asset Classes; Blockchain; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/skbi/6; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1005&context=skbi
• Institution: Singapore Management University

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have low liquidity compared to traditional assets, one needs to take into account liquidity issues when adding them to a portfolio. We propose a Liquidity Bou...