Modeling Price Dynamics, Optimal Portfolios, and Option Valuation for Cryptoassets

The authors demonstrate the construction of an optimal dynamic portfolio cryptoassets that minimizes either return variance or conditional value at risk. One can view such a as minimum-risk index for this asset class. They carefully backtested model and developed fair valuation options based on pricing underlying cryptoasset index. obtain by passing from natural world to equivalent martingale measure via Esscher transform. work underscores need index–based exchange-traded fund, development derivatives, particularly cryptoportfolio insurance purposes, (nearly) riskless rates TOPICS:Currency, options, statistical methods, VAR use alternative risk measures trading Key Findings ▪ This article provides methodology constructing major develop cryptoindex. emphasizes fund in particular purposes.