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A study by Assoc. Prof. Mustafa Özyeşil, Head of the Department of Business Administration at Haliç University, examining the diversification potential and risk-adjusted performance of cryptocurrencies in multi-asset portfolios, has been published in the Journal of Business Economics and Management. The journal is indexed in SSCI and Scopus and ranks in the Q1 quartile in the economics category of the Journal Citation Reports.
Titled “Risk-adjusted optimization and diversification effects of cryptocurrencies in multi-asset portfolios: a simulation-based and copula-driven approach,” the study examines the role of crypto assets in portfolios consisting of traditional financial instruments based on daily data covering the period from 2015 to 2024. The research employs an integrated methodology combining mean-variance optimization, Monte Carlo simulation and copula models.
The findings indicate that portfolios consisting solely of cryptocurrencies demonstrated lower risk-adjusted performance during the period examined. In contrast, incorporating crypto assets into diversified portfolios at limited weights was found to provide diversification benefits and contribute to reducing portfolio risk.
The study also evaluates the dependence structures and volatility dynamics observed during periods of market stress. The findings provide empirical evidence on the role of digital assets in portfolio management and contribute to the literature on evaluating cryptocurrencies alongside traditional financial assets.
We congratulate our academician and wish him continued success.
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