Estimating Rebalancing Premium in Cryptocurrencies

Our new article investigates “rebalancing premium” or “diversification return” in cryptocurrencies that investors can achieve by periodically rebalancing their portfolios. We analyze whether the daily/ monthly rebalanced portfolios outperform a simple buy-and-hold portfolio of cryptocurrencies. Additionally, we also look at the various combinations of volatile cryptocurrency portfolios with low-risk bonds.

https://quantpedia.com/estimating-rebalancing-premium-in-cryptocurrencies/