A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies

A K-Means Classification and Entropy Pooling Portfolio Strategy for Small and Large Capitalization Cryptocurrencies

In this study, we propose three portfolio strategies: allocation based on the normality assumption, the skewed-Student t distribution, and the entropy pooling (EP) method for 14 small- and large-capitalization (cap) cryptocurrencies. We categorize our portfolios into three groups: portfolio 1, consi...

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Bibliographic Details
Main Authors: Jules Clement Mba, Ehounou Serge Eloge Florentin Angaman
Format: Article
Language:English
Published: MDPI AG 2023-08-01
Series:Entropy
Subjects:
backtesting
cryptocurrencies
entropy pooling
K-means classification
Online Access:https://www.mdpi.com/1099-4300/25/8/1208

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