{"id":"https://openalex.org/W3177302413","doi":"https://doi.org/10.1109/icbc51069.2021.9461107","title":"Diversification Benefits of Commodities for Cryptoasset Portfolios","display_name":"Diversification Benefits of Commodities for Cryptoasset Portfolios","publication_year":2021,"publication_date":"2021-05-03","ids":{"openalex":"https://openalex.org/W3177302413","doi":"https://doi.org/10.1109/icbc51069.2021.9461107","mag":"3177302413"},"language":"en","primary_location":{"id":"doi:10.1109/icbc51069.2021.9461107","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icbc51069.2021.9461107","pdf_url":null,"source":{"id":"https://openalex.org/S4363608612","display_name":"2021 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036896286","display_name":"Aikaterini Koutsouri","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Aikaterini Koutsouri","raw_affiliation_strings":["Imperial College London, London, UK"],"affiliations":[{"raw_affiliation_string":"Imperial College London, London, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079496923","display_name":"Michael Petch","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael Petch","raw_affiliation_strings":["CoinShares Octagon Point, London, UK"],"affiliations":[{"raw_affiliation_string":"CoinShares Octagon Point, London, UK","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5050119476","display_name":"William J. Knottenbelt","orcid":"https://orcid.org/0000-0002-8490-1011"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"William J. Knottenbelt","raw_affiliation_strings":["Imperial College London, London, UK"],"affiliations":[{"raw_affiliation_string":"Imperial College London, London, UK","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5036896286"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.11079137,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"51","issue":null,"first_page":"1","last_page":"9"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9925000071525574,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10438","display_name":"Energy, Environment, Economic Growth","score":0.9682000279426575,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.8192477226257324},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7543479204177856},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.7045950293540955},{"id":"https://openalex.org/keywords/index","display_name":"Index (typography)","score":0.6196346879005432},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5904095768928528},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.5451681613922119},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.44802460074424744},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.4382164776325226},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.32141631841659546},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.307895302772522},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.17343184351921082}],"concepts":[{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.8192477226257324},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7543479204177856},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.7045950293540955},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6196346879005432},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5904095768928528},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.5451681613922119},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44802460074424744},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.4382164776325226},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32141631841659546},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.307895302772522},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.17343184351921082},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/icbc51069.2021.9461107","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icbc51069.2021.9461107","pdf_url":null,"source":{"id":"https://openalex.org/S4363608612","display_name":"2021 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2021 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","raw_type":"proceedings-article"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/88212","is_oa":false,"landing_page_url":"http://hdl.handle.net/10044/1/88212","pdf_url":null,"source":{"id":"https://openalex.org/S4306401396","display_name":"Spiral (Imperial College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I47508984","host_organization_name":"Imperial College London","host_organization_lineage":["https://openalex.org/I47508984"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2021 International Conference on Blockchain and Cryptocurrency (ICBC 2021)","raw_type":"Conference Paper"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":38,"referenced_works":["https://openalex.org/W1481884372","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2001342619","https://openalex.org/W2054335230","https://openalex.org/W2061160212","https://openalex.org/W2127366658","https://openalex.org/W2144774345","https://openalex.org/W2148386749","https://openalex.org/W2162397513","https://openalex.org/W2263098707","https://openalex.org/W2332498091","https://openalex.org/W2566835421","https://openalex.org/W2605411941","https://openalex.org/W2759609844","https://openalex.org/W2883487552","https://openalex.org/W2894466258","https://openalex.org/W2894679048","https://openalex.org/W2968978462","https://openalex.org/W2976873048","https://openalex.org/W3006255542","https://openalex.org/W3013304964","https://openalex.org/W3094288159","https://openalex.org/W3100397703","https://openalex.org/W3121828170","https://openalex.org/W3123414673","https://openalex.org/W3123534519","https://openalex.org/W3125361290","https://openalex.org/W3125455789","https://openalex.org/W4297964220","https://openalex.org/W6628828110","https://openalex.org/W6681753262","https://openalex.org/W6702431756","https://openalex.org/W6751832536","https://openalex.org/W6767721918","https://openalex.org/W6774086825","https://openalex.org/W6775696663"],"related_works":["https://openalex.org/W2479414348","https://openalex.org/W4327779378","https://openalex.org/W4372325069","https://openalex.org/W1548021215","https://openalex.org/W2388859841","https://openalex.org/W2365845233","https://openalex.org/W2378176996","https://openalex.org/W1183681342","https://openalex.org/W2355340394","https://openalex.org/W2162693448"],"abstract_inverted_index":{"The":[0,244],"aim":[1],"for":[2,196,250,265],"balance":[3],"between":[4],"risk":[5,222],"and":[6,35,59,96,159,203],"reward":[7],"in":[8,31,39,53,137,147,152,167,184,239],"investment":[9],"portfolios":[10,38,58],"often":[11],"requires":[12,22],"studying":[13],"the":[14,54,72,85,93,114,132,138,148,155,160,165,168,177,185,197,200,216,219,231,258],"diversification":[15,52,178],"contribution":[16,223],"of":[17,51,56,79,87,124,134,154,193,218,230,241],"its":[18],"constituents.":[19],"This":[20],"objective":[21],"to":[23,106,143,207,214],"specify":[24],"whether":[25,61],"investors":[26,251],"can":[27,65],"extend":[28],"their":[29,37,62,204,237],"exposure":[30,70,105,166],"certain":[32],"asset":[33,108],"classes":[34],"benefit":[36,179],"a":[40,99,122,144,172,182,191,208,227],"statistically":[41,173],"significant":[42,145,174],"way.":[43],"In":[44],"this":[45,49],"paper,":[46],"we":[47,82],"address":[48],"issue":[50],"context":[55],"cryptoasset":[57,140],"examine":[60],"risk-adjusted":[63],"performance":[64,229],"be":[66,262],"enhanced":[67],"through":[68],"seeking":[69],"into":[71],"commodities":[73],"class.":[74],"For":[75],"an":[76],"equally-weighted":[77],"portfolio":[78,141],"five":[80,125],"cryptoassets,":[81],"first":[83],"consider":[84,112],"addition":[86,133],"physical":[88,119,135],"gold,":[89],"as":[90],"conceptualised":[91],"by":[92,117],"CoinShares":[94],"Gold":[95],"Cryptoassets":[97],"Index,":[98],"diversified,":[100],"monthly-rebalanced":[101],"index":[102,115,202,220,246],"that":[103,131,252],"seeks":[104],"both":[107,151],"classes.":[109],"We":[110,188],"further":[111,189],"modifying":[113],"composition":[116,260],"replacing":[118],"gold":[120,136],"with":[121,176,267],"basket":[123],"commodities.":[126],"Mean-variance":[127],"spanning":[128],"tests":[129],"reveal":[130],"original":[139,198,259],"translates":[142],"shift":[146,183],"efficient":[149],"frontier,":[150],"terms":[153,240],"global":[156],"minimum":[157],"variance":[158],"tangency":[161,186],"portfolios.":[162],"Additionally,":[163],"expanding":[164],"commodity":[169],"side":[170],"confirms":[171],"improvement,":[175],"arising":[180],"from":[181],"portfolio.":[187],"generate":[190],"number":[192],"price":[194],"paths":[195],"index,":[199],"modified":[201,245],"components,":[205],"according":[206],"Dynamic":[209],"Conditional":[210],"Correlation":[211],"GARCH":[212],"specification,":[213],"assess":[215],"efficiency":[217],"weighted":[221],"scheme.":[224],"Results":[225],"demonstrate":[226],"superior":[228],"two":[232],"indices":[233],"when":[234],"compared":[235],"against":[236],"constituents":[238],"Omega":[242],"ratio.":[243],"appears":[247],"more":[248,263],"appropriate":[249,264],"seek":[253],"higher":[254],"annual":[255,269],"returns,":[256],"while":[257],"would":[261],"individuals":[266],"moderate":[268],"return":[270],"goals.":[271]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}