crypto-portfolio-optimization

link to R code

Crypto portfolio optimization using BatchGetSymbols to get data from yahoo and fPortfolio to calculate the tangencyPortfolio (most efficient) and minvariancePortfolio (less risk).

We evaluated the following 18 pairs from “2021-06-01” on a daily basis.

Reduced portfolio

pairs	tangency Portfolio	min variance Portfolio
BTCUSD	0.5880916	0.9625979
ETHUSD	0.4119084	0.0226302
XRPUSD	0.0000000	0.0000000
LTCUSD	0.0000000	0.0000000
XMRUSD	0.0000000	0.0147719
XLMUSD	0.0000000	0.0000000

Full portfolio

pairs	tangency Portfolio	min variance Portfolio
BTCUSD	0.0000000	0.8402222
ETHUSD	0.0000000	0.0000000
DOGEUSD	0.0000000	0.0000000
XRPUSD	0.0000000	0.0000000
SHIBUSD	0.2549794	0.0000000
SOL1USD	0.7450206	0.0463841
DOT1USD	0.0000000	0.0000000
LINKUSD	0.0000000	0.0000000
ADAUSD	0.0000000	0.1133938
LTCUSD	0.0000000	0.0000000
XMRUSD	0.0000000	0.0000000
XLMUSD	0.0000000	0.0000000
ZECUSD	0.0000000	0.0000000
DASHUSD	0.0000000	0.0000000
NEOUSD	0.0000000	0.0000000
EOSUSD	0.0000000	0.0000000
TRXUSD	0.0000000	0.0000000
BCHUSD	0.0000000	0.0000000

data