Cryptocurrency Portfolio Selection—A Multicriteria Approach

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an allows considering a number of variables important cryptocurrencies rather than limiting them to commonly employed return and risk. The proposed multiobjective decision making model gives best daily return, standard deviation, value-at-risk, conditional volume, market capitalization attractiveness nine from January 2017 February 2020. optimal portfolios are calculated at first each month by taking previous 6 months data calculations yielding with 32 in successive months. out-of-sample performances compared five used models, i.e., naïve portfolio, two mean-variance models (in middle end efficient frontier), maximum Sharpe ratio mean-CVaR (conditional value-at-risk) frontier, on average deviation VaR (value-at-risk) returns next 30 days trading day all dates. wins against other according observed indicators, winnings spanning 50% up 94%, proving benefits employing more criteria appropriate selection process.