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...
Furkejuvvon:
| Váldodahkki: | |
|---|---|
| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
MDPI AG
2026-03-01
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| Ráidu: | International Journal of Financial Studies |
| Fáttát: | |
| Liŋkkat: | https://www.mdpi.com/2227-7072/14/3/53 |
| Fáddágilkorat: |
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