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Paper / 2023SMQ / 70453152165051
Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach
Claudio Latini / Mamdouh A. S. Al-Faryan / Vahidin Jeleskovic / Zahid I. Younas
copulas / cryptocurrenciesResource overview

Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach

Paper2023

by Claudio Latini, Mamdouh A. S. Al-Faryan, Vahidin Jeleskovic, Zahid I. Younas

Tags
copulascryptocurrenciesgarchportfolio managementportfolio optimization

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Suggested foundations for volatility models and surfaces and portfolio construction. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  4. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

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  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

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