Portfolio Management Decision Support System Using Cryptocurrencies and Traditional Assets in Indian Context
- Title
- Portfolio Management Decision Support System Using Cryptocurrencies and Traditional Assets in Indian Context
- Creator
- Vijayalakshmi S.; Sharma M.; Jose E.; Kappil S.R.
- Description
- The paper attempts to develop a portfolio management decision support system (PMDSS) to help the investors to ensure portfolio optimization in Indian context. For this, the study conducts a comparative analysis between portfolios with equities from Indian market and portfolios that includes cryptocurrencies along with equities. Considering the huge hype received by cryptocurrencies in the current scenario, we attempt to diversify portfolios by including risky assets like cryptocurrencies, specially focusing from Indian perspective. Till now, Portfolio Optimization with Monte Carlo Simulation and Hierarchical Risk Parity has not been implemented by combining portfolios of cryptocurrencies and Indian stocks together. Traditional assets for the study are selected upon their market capitalization, Earnings Per Share, Profit margin, Operating profit etc. and cryptocurrencies are chosen according to their market capitalization. Data on the daily prices of these assets are collected from 201920 to 202122. An attempt is made to optimize the portfolios by minimizing the portfolio standard deviation and maximizing the portfolio expected returns. This helps to minimize risk and maximize the possible returns that might arise from the portfolio after adjusting for the volatility of the asset classes respectively. Based on the results, we suggest not to incorporate cryptocurrencies in portfolios with Indian stocks. This is because the risk adjusted returns of cryptocurrencies are comparatively lower as compared to the other under study. The Author(s), under exclusive license to Springer Nature Switzerland AG 2024.
- Source
- Studies in Systems, Decision and Control, Vol-508, pp. 419-434.
- Date
- 2024-01-01
- Publisher
- Springer Science and Business Media Deutschland GmbH
- Subject
- Cryptocurrencies; Hierarchical risk parity; Monte Carlo simulations; Portfolio; Portfolio expected return
- Coverage
- Vijayalakshmi S., Department of Data Science, CHRIST (Deemed to Be University), Pune, India; Sharma M., Department of Data Science, CHRIST (Deemed to Be University), Pune, India; Jose E., Department of Data Science, CHRIST (Deemed to Be University), Pune, India; Kappil S.R., Department of Data Science, CHRIST (Deemed to Be University), Pune, India
- Rights
- Restricted Access
- Relation
- ISSN: 21984182
- Format
- Online
- Language
- English
- Type
- Book chapter
Collection
Citation
Vijayalakshmi S.; Sharma M.; Jose E.; Kappil S.R., “Portfolio Management Decision Support System Using Cryptocurrencies and Traditional Assets in Indian Context,” CHRIST (Deemed To Be University) Institutional Repository, accessed April 24, 2025, https://archives.christuniversity.in/items/show/18045.