arbiter
JournalsPricingAccount

Stochastic dominance performance comparison of optimal fiat and cryptocurrency portfolios

Fathi Abid & Ons Triki

International Journal of Monetary Economics and Finance2025https://doi.org/10.1504/ijmef.2025.145204article
ABDC C
Weight
0.50

What the paper says

In this study, three replication-based portfolio optimisation strategies are explicitly compared for their effectiveness. Specifically, the tangency portfolio, the risk parity, and the minimum variance portfolio were used and applied to the excess returns of selected fiat and cryptocurrencies in terms of the U.S. dollar (USD). Employing fourth-order stochastic dominance with resampling and the fourth-order stochastic dominance zone over a construction-dominated portfolio, the study examined seven large-cap cryptocurrencies, as well as six major fiat currencies. The rolling window technique is used to replicate optimal currency portfolios by considering the time-varying premiums and optimal portfolio structures. Findings show that there is no significant stochastic dominance between strategies and portfolio groups. Even though cryptocurrencies seem more volatile, using them as part of a diversification plan has no benefits and has no effect on lowering risk or increasing returns.

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1504/ijmef.2025.145204

Or copy a formatted citation

@article{fathi2025,
  title        = {{Stochastic dominance performance comparison of optimal fiat and cryptocurrency portfolios}},
  author       = {Fathi Abid & Ons Triki},
  journal      = {International Journal of Monetary Economics and Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1504/ijmef.2025.145204},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Stochastic dominance performance comparison of optimal fiat and cryptocurrency portfolios

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.