Regime- and Tail-Dependent Performance of CVaR-Based Portfolio Strategies in Cryptocurrencies
Cryptocurrency markets are characterized by extreme volatility, fat-tailed return distributions, and frequent regime shifts, challenging traditional mean–variance portfolio optimization. In such environments, downside risk management becomes central, and tail-sensitive measures such as Conditional V...
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
MDPI AG
2026-03-01
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| Series: | International Journal of Financial Studies |
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| Acceso en liña: | https://www.mdpi.com/2227-7072/14/3/53 |
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