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/Summary
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
