Global portfolio diversification with cryptocurrencies

• Abstract
  
  • 1. Introduction
    
  • 2. Literature review
    
  • 3. Data
    
  • 4. Methodology
    
  • 4.1. Correlation analysis
    
  • 4.2. Portfolio optimization
    
  • 4.2.1. Minimum risk approaches
    
  • 4.2.2. Risk budgeting approaches
    
  • 4.3. Performance measurement
    
  • 5. Empirical results
    
  • 5.2. Correlation analysis
    
  • 5.3. Portfolio performance
    
  • 5.4. Portfolio weights analysis
    
  • 5.5. Robustness check
    
  • 6. Conclusion