Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk

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Aghamohammadi Ahmad; Ohadi Fereydoon; Seighaly Mohsen; BANIMAHD BAHMAN

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:13 | Issue:47 Page(s): 17-31

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Information Journal Paper

Title

Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk

Author(s)

Aghamohammadi Ahmad | Ohadi Fereydoon | Seighaly Mohsen | BANIMAHD BAHMAN | Issue Writer Certificate

Keywords

Risk

Return

portfolio

Crypto currency

Value at risk

Abstract

A digital currency is a complex form of electronic money. The process of transferring this system is quite direct, and compared to the traditional method, there is less cost and time for transactions to take place in different parts of the world. Digital currencies use a system called the Block chain, Anyone who understands the benefits of the Chinese block, It's empty in our country. Advantages such as the impossibility of manipulating information, intelligence and decentralizing processes, along with high transparency, are issues that optimistic about the future of this technology. In this research, we select a number of digital currencies with the highest transaction volume and liquidity to create portfolios. and calculated using the Value at Risk (VaR) approach and the Return on the portfolio Finally, an optimal investment portfolio is offered.

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APA: Copy

Aghamohammadi, Ahmad, Ohadi, Fereydoon, Seighaly, Mohsen, & BANIMAHD, BAHMAN. (2020). Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 13(47 ), 17-31. SID. https://sid.ir/paper/951851/en

Vancouver: Copy

Aghamohammadi Ahmad, Ohadi Fereydoon, Seighaly Mohsen, BANIMAHD BAHMAN. Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;13(47 ):17-31. Available from: https://sid.ir/paper/951851/en

IEEE: Copy

Ahmad Aghamohammadi, Fereydoon Ohadi, Mohsen Seighaly, and BAHMAN BANIMAHD, “Estimating the Investment Risk in a Digital Currency Portfolio and Optimizing it Using Value at Risk,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 13, no. 47 , pp. 17–31, 2020, [Online]. Available: https://sid.ir/paper/951851/en

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