STATIC AND DYNAMIC PORTFOLIO ALLOCATION ANALYSIS BASED ON CRYPTOCURRENCY MARKETS

Öz

In this study, static and dynamic portfolio allocation analyzes based on cryptocurrency markets are
conducted. Conditional value at risk method, risk parity method, minimum variance portfolio and equal weighted
portfolio are used in the analyzes. Sortino ratio, Calmar ratio, Sharpe ratio and coefficients of variation are applied
in order to evaluate the performances of the optimal portfolios. In the measurement of financial risk levels of the
optimal portfolios, the historical simulation method, the conditional value-at-risk method and the maximum
drawdown are used. The results based on both static and dynamic portfolio allocation analysis indicate that equal
weighted portfolio is the best performing of the methods examined. The findings also show that though the
portfolio created with the equal weighted portfolio has a reasonable market risk level under normal market
conditions, in the periods when the volatility in the cryptocurrency markets is quite high, the portfolio created with
the equal weighted portfolio also has the highest market risk. 

Anahtar Kelimeler

• Cryptocurrency Markets
• Portfolio Optimization
• Portfolio Risk Management
• Cryptocurrency Markets, Portfolio Optimization, Portfolio Risk Management

KRİPTO PARA PİYASALARINA DAYALI STATİK VE DİNAMİK PORTFÖY OPTİMİZASYON ANALİZLERİ

Öz

Bu çalışmada kripto para piyasalarına dayalı statik ve dinamik portföy optimizasyon analizlerine yer verilmiştir. Analizlerde şartlı riske maruz değer yöntemi, risk paritesi yöntemi, minimum varyans yöntemi, Shrape rasyosu yöntemi ile eşit ağırılıklandırma yöntemi kullanılmıştır. Portföy performanslarının ölçümünde Sortino rasyosu, Calmar rasyosu, Sharpe rasyosu ile değişim katsayılarından yararlanılmıştır. Optimal portföylerin finansal risk düzeylerinin ölçümünde ise tarihi simülasyon yöntemi, şartlı riske maruz değer yöntemi ile maksimum düşüş oranına yer verilmiştir. Hem statik hem de dinamik portföy optimizasyon analizine dayalı bulgular her durumda en iyi performansı sergileyen yöntemin eşit ağırlıklandırma yöntemi olduğu sonucuna işaret etmektedir. Bulgular ayrıca normal piyasa koşullarında eşit ağırlıklandırma yöntemi ile oluşturulan portföyün makul bir piyasa risk düzeyine sahip olduğunu, fakat kripto para piyasalarındaki volatilitenin oldukça artığı dönemlerde eşit ağırlıklandırma yöntemi ile oluşturulan portföyün en yüksek piyasa riskine sahip portföy olma riskinin de bulunduğunu göstermektedir.

Anahtar Kelimeler

• Kripto para piyasaları
• Portföy Optimizasyonu
• Portföy riski
• Cryptocurrency Markets
• Portfolio Optimization
• Portfolio Risk Management

Kaynakça

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