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Optimization of cryptocurrency investment portfolio according to non-deterministic internal rate of return based on hybrid algorithm
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Somaye Mohammadpor   , Maryam Rahmaty , Fereydon Rahnamay Roodposhti , Reza Ehtesham Rasi |
| Assistant Professor, Department of Management, Chalous Branch, Islamic Azad University, Chalous, Iran. , Rahmaty.maryam61@gmail.com |
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Abstract: (338 Views) |
In this article, the modeling and solution of a cryptocurrency capital portfolio optimization problem has been discussed. The presented model, which is based on Markowitz's mean-variance method, aims to maximize the non-deterministic internal return and minimize the cryptocurrency investment risk. A combined PSO and SCA algorithm was used to optimize this two-objective model. The results of the investigation of 40 investment portfolios in a probable state showed that with the increase in the internal rate of return, the investment risk increases. So in the optimistic state, there is the highest internal rate of return and in the pessimistic state, there is the lowest investment risk. Investigations of the investment portfolio in the probable state also showed that more than 80% of the investment was made to optimize the objective functions in 5 cryptocurrencies BTC, ETH, USTD, ADA, and XRP. So in the secondary analysis, it was observed that in the case of investing in the top 5 cryptocurrencies, the average internal rate of return increased by 9.92%, and the average investment risk decreased by 0.1%.
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| Keywords: cryptocurrency investment portfolio optimization, non-deterministic internal rate of return, hybrid algorithm |
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Full-Text [PDF 344 kb]
(501 Downloads)
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Type of Study: Original |
Subject:
Mathematical Modeling and Applications of OR
Received: 2024/02/16 | Accepted: 2024/04/16 | Published: 2024/04/25
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