Trading Model for Actively Managed Investment Funds in the Crypto Asset Market

• Kirill Vokulov

  American College of Education, Alumni, USA

  Author

The investment portfolio is mainly exposed to two types of risk: systematic and idiosyncratic. Therefore, the task can be divided into two parts. The first part of the task is to implement the effective set of possible investment portfolios by Gary Markowitz (Sharpe W.F., 2022). However, according to research results, an author’s adjustment “Scam coefficient” should be added in order to increase the efficiency. The second part of the task is to construct an oscillator to reduce systematic risk. The first part is designed to reduce the idiosyncratic risk of the portfolio. Adding a special index is simply necessary since the crypto asset market is affected by many more factors than classical financial markets. 

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