分形视角下的加密货币投资组合:牛熊市效果比较

摘要/Abstract

摘要： 本文主要以比特币、瑞波币和莱特币为研究对象，运用多重分形投资组合模型进行加密货币的组合投资，进一步研究了牛市和熊市投资组合效果的差异，采用收益、风险和夏普比率三个指标对投资组合进行样本内预测和样本外效果检验分析。实证结果表明：在不同的时期，各单一加密货币以及两两加密货币之间均表现出了标度效应、多重分形特征，且牛市期间长记忆特征更强。在全样本、牛市和熊市期间，不同波动幅度、不同时间尺度下多重分形投资组合模型与传统的投资组合模型相比能够显著地分散风险，并且牛熊市期间多重分形投资组合的有效边界显著向左移动。进一步研究发现，在适当的标度q下，多重分形投资组合模型在牛市和熊市均能取得最优的投资组合效果。

关键词: 加密货币, 投资组合, 分形, 牛熊市

Abstract: Drawing upon Bitcoin, Ripple and Litecoin as the research objects, this paper uses the multifractal portfolio model to research the portfolio investment of cryptocurrency and further studies the difference of portfolio effect between bull market and bear market. Return, risk and Sharpe ratio are used to perform in-sample forecasting and out-of-sample effect test analysis on the investment portfolio. The empirical results show that: in different periods, each cryptocurrency and the pair of cryptocurrencies exhibit scaling effects and multifractal characteristics, and the characteristics of long memory are stronger during the bull market. During the full-sample, bull-market and bear-market periods, the multifractal portfolio model can significantly decentralize risks compared with the traditional portfolio model under different volatility and time scales, and the effective boundary of the multifractal portfolio moves significantly to the left during the bull and bear market periods. Further research shows that the multifractal portfolio model can achieve the optimal portfolio effect in both bull and bear market under the appropriate scale q.

Key words: cryptocurrency, portfolio, fractal, bull and bear market

曹广喜, 谢文浩. 分形视角下的加密货币投资组合:牛熊市效果比较[J]. 管理评论, 2023, 35(3): 39-48.

Cao Guangxi, Xie Wenhao. Cryptocurrency Portfolio from the Perspective of Fractal Theory: Comparison of the Effects of Bull and Bear Market[J]. Management Review, 2023, 35(3): 39-48.

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