Efficient implementation of portfolio strategies involving cryptocurrencies and VIX INDEX and Gold

Jiahao Cui; Qiushi Li; Yuezhi Pen

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arXiv · 2211.08919

Efficient implementation of portfolio strategies involving cryptocurrencies and VIX INDEX and Gold

Jiahao Cui·Qiushi Li·Yuezhi Pen

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Abstract

This research mainly explores the characteristics of different strategies and whether VIX INDEX positively influences the investment portfolio in any period. Our portfolio has six significant cryptocurrencies, VIX INDEX and gold. We perform parameter estimation on all raw data and bring the two types into different investment strategies, complete them effectively according to other characteristics, and compare the results. At the same time, we make two different portfolios, one contains VIX INDEX, and one does not have VIX INDEX. We use different portfolios in different portfolio strategies and find that VIX INDEX can positively impact the investment portfolio of cryptocurrencies, no matter in the standard market or the downward market. The research shows that gold has the same attributes as VIX INDEX and should have a specific positive effect, but no comparative experiment has been done.

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Jiahao Cui, Qiushi Li, Yuezhi Pen. 2022-11-16. Efficient implementation of portfolio strategies involving cryptocurrencies and VIX INDEX and Gold. https://arxiv.org/abs/2211.08919

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