Abstract
In this study, we analyzed how the introduction of the cryptocurrency index into the U.S. financial market from a macro perspective affects the market. A cryptocurrency index with several specific categories was introduced into the U.S. financial market and the possibility of introduction into the U.S. market from the perspective of systemic risk and portfolio theory. As a result, the experiment results confirmed that the cryptocurrency index could play a role like existing asset groups. In addition, in this study, the maximum Sharpe ratio in return to investment risk was derived based on modern portfolio theory. This study is significant because it confirmed the possibility of introducing the cryptocurrency index as a new asset in the U.S. ETF market, based on their Sharpe ratio derived from portfolio optimization results.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of the Korean Institute of Industrial Engineers
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
