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crypto_portfolio_optimization

Abstract

In the latter half of 2020 and the beginning of 2021, the interest and demand for cryptocurrency skyrocketed to new records [1]. But with a plethora of cryptocurrency options, most with high levels of volatility, it is difficult to determine how to construct a viable cryptocurrency portfolio. I approached this problem comprehensively, offering a comparison of a variety of techniques including both repeated random sampling and numerical optimization techniques. Included in this analysis are 13 of the most prominent cryptocurrencies: Bitcoin, Bitcoin Cash, Litecoin, Ethereum, Tron, Binance Coin, Ripple, Cardano, Stellar, Monero, Chainlink, Dogecoin, and Polkadot.

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