Optimization and Diversification of Cryptocurrency Portfolios: A Composite Copula-Based Approach
This paper focuses on the selection and optimisation of a cryptoasset portfolio, using the K-means clustering algorithm and GARCH C-Vine copula model combined with the differential evolution algorithm. This integrated approach allows the construction of a diversified portfolio of eight cryptocurrenc...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-06-01
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| Series: | Applied Sciences |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2076-3417/12/13/6408 |