Date of Publication
3-2023
Document Type
Master's Thesis
Degree Name
Master of Science in Financial Engineering
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management Department
Thesis Advisor
Edwin Valeroso
Defense Panel Chair
Robert Rol Richard Raymond Ramos
Defense Panel Member
Ricarte Pinlac
Francis Viernes
Abstract (English)
The Philippines saw the heightened interest of the investing public in cryptocurrencies when digital assets began gaining popularity, especially during the COVID-19 pandemic. This study introduces a portfolio of bonds, stocks, and foreign currency in the Philippines, combined with cryptocurrencies, by applying a method based on graph theory and machine learning techniques – the hierarchical risk parity approach. An out-of-sample comparison with traditional portfolio strategies shows that the hierarchical risk parity portfolio outperforms in terms of risk-adjusted return. The identified optimal portfolio reveals that only a small portion of the investment shall be allocated to cryptocurrencies, and much of the capital should still be with conventional assets.
Abstract Format
html
Language
English
Keywords
Investments—Philippines; Cryptocurrencies—Philippines
Recommended Citation
Edra, J. J. (2023). Hierarchical risk parity portfolio design of traditional risky assets and cryptocurrencies in the Philippines. Retrieved from https://animorepository.dlsu.edu.ph/etdm_finman/9
Upload Full Text
wf_yes
Embargo Period
5-20-2023
