QfRG and DSLab open seminar

16 February 2021

We invite you to the 8th seminar of the monthly series of meetings conducted jointly by QFRG (Quantitative Finance Research Group) and DSLab (Data Science Lab). The meeting will be devoted to the topic: Investment Opportunities on the Cryptocurrency Market within the Markowitz Framework , in which Paweł Sakowski (QFRG) and Anna Turovtseva will describe the application of the classical Markowitz (1952) asset allocation framework on the cryptocurrency market.

QFRG  is a place where research is conducted and experiences are exchanged between people engaged in examining occurrences in the world of investment from the perspective of both theory and practice, on the verge of science and business.

The activity of DSLab  is focused mainly on academic projects devoted to deepening the knowledge of DSLab team, sharing it with other people interested in Data Science issues, and preparing scientific and didactic publications.

The meeting will take place on February 22nd, 2021 (Monday) at 5:00 pm online on Google Meet platform.

The meeting will be conducted in English. The presentation is scheduled for about 45 minutes, and after that, we invite you to a discussion.

Link to the meeting : meet.google.com/scf-yseg-zpp

Please log in at the latest at 4:50 PM . The presentation will start at 5:00 PM.

Joining a meeting implies consent to the recording . Please turn off cameras and microphones during the presentation and send the questions to the speaker in the chat.

Presentation abstract:

Authors apply the classical Markowitz (1952) asset allocation framework on the cryptocurrency market. Maximum IR and Minimum Variance portfolios are compared with four benchmarks: Bitcoin buy-and-hold, S&P500 buy-and-hold, equally-weighted portfolio, and portfolio weighted by market capitalization. Results show that Markowitz strategies outperform their benchmarks for every set of analyzed parameters. Sensitivity analysis suggests that portfolio performance is not robust to the look-back period, rebalancing window, transaction costs, and optimization target.

The next meeting is planned for the middle of March 2021.

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