Strategic selection of cryptocurrency investment portfolios based on discrete multi-criteria methods.

In recent years, cryptocurrencies have gone from an unknown plane to a protagonist one, with strategic investment in these assets becoming increasingly popular for organizations seeking to diversify their portfolios. However, cryptocurrencies carry a high risk due to their high volatility. Based on the multi-criteria decision making theory, a decision support system was developed for the design of business investment portfolios in cryptocurrencies, starting from the definition of criteria based on historical data that characterize returns and risks in different ways, all this for short time windows of 7 and 15 days. Then, the importance of criteria was analyzed by various methods and their impact was evaluated assuming changes in stock prices. Finally, multi-criteria methods were applied for the design of cryptocurrency investment portfolios in the above-mentioned time windows. The developed system is applicable to companies of any size, since the studied methods provide bigger rationality and objectivity to the strategic decision-making process. The resulting method can be extended in the future to incorporate criteria that take advantage of information on the market capitalization of cryptocurrencies, as well as capturing investor sentiment or the expected shortfall of the investment.