Risk Management for Cryptocurrency Portfolios by Yifan He HARDBACK 9781501520099

Risk Management for Cryptocurrency PortfoliosAuthor(s): Yifan He, W.\nBrent Lindquist, Svetlozar\n(Zari) Rachev, Davide Lauria\nFormat: Hardback\nPublisher: De Gruyter, United States\nImprint: De Gruyter\nISBN-13: 9781501520099, 978-1501520099\nSynopsis\nCryptocurrencies have transformed finance by opening new avenues for investment and innovation, while exposing portfolios to extreme volatility, fat tails, liquidity shocks, and shifting regulation. Risk Management for Cryptocurrency Portfolios provides a rigorous, practice-oriented toolkit for this landscape. The book blends postmodern portfolio theory, heavy-tailed statistics, and empirically tested optimization methods into a coherent framework tailored to digital assets.\n\nStarting from the data, the authors assemble a consistent set of 40 major tokens and examine hourly performance, stylized facts, and benchmarks. They study stationarity, the non-normal nature of returns, and tail risk using Hill estimators and generalized Pare.