A multicountry comparison of cryptocurrency vs gold: Portfolio optimization through generalized simulated annealing  

作　　者：Ankit Som Parthajit Kayal 

机构地区：[1]Madras School of Economics,Chennai,600025,India

出　　处：《Blockchain(Research and Applications)》2022年第3期23-35,共13页区块链研究（英文）

基　　金：The authors received no financial support for the research,authorship,and/or publication of this article.

摘　　要：The last few years have seen a paradigm shift in the financial sector with the development of cryptocurrencies as an alternative mode of payment as well as an investment scheme.The aim of this study is two-fold.The first is to quantify the volatility of cryptocurrencies in terms of the dynamics of tail-end behavior using different approaches and choose the one with the lowest value-at-risk.The second is to investigate the effect of its inclusion in a portfolio with and without gold,to see if Bitcoin is indeed the“digital gold”.This paper uses the generalized simulated annealing optimization technique to compare portfolios for ten countries across the world.The data provide convincing evidence in favor of the inclusion of Bitcoin in the optimized portfolios.Rolling-window analyses(three-year and five-year)confirm the same.However,for some countries,the empirical pattern suggests that instead of replacing gold from the portfolio,both should be comprised.Our results are robust in terms of the inclusion of non-linear constraints.

关 键 词：Cryptocurrency GOLD VALUE-AT-RISK Portfolio optimization Generalized simulated annealing 

分 类 号：F832[经济管理—金融学]