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Implementation of simulations for paper:

Sepp A. (2023) Optimal Allocation to Cryptocurrencies in Diversified Portfolios, Risk (October 2023, 1-6) Available at SSRN: https://ssrn.com/abstract=4217841

The analysis presented in the paper can be replicated or extended using this module

Implementation steps:

  1. Populate the time series of asset prices in the investable universe using
optimaportfolios/examples/crypto_allocation/load_prices.py

Price data for some assets can be fetched from local csv files, some can be generated on the fly

Run

update_prices()
  1. Generate article figures using unit tests in
optimaportfolios/examples/crypto_allocation/article_figures.py
  1. Generate reports of simulated investment portfolios as reported in the article
optimaportfolios/examples/crypto_allocation/backtest_portfolios_for_article.py