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.

近年来，加密货币已从鲜为人知的小众赛道成长为主流焦点，寻求投资组合多元化的各类机构对这类资产的战略投资愈发普及。然而，加密货币因高波动性伴随极高风险。基于多准则决策（Multi-criteria Decision Making）理论，本研究开发了一款面向加密货币投资组合构建的决策支持系统（Decision Support System）：首先基于以不同维度刻画收益与风险的历史数据确定评价准则，所有分析均针对7天与15天的短时间窗口展开。随后，研究通过多种方法分析了各准则的权重，并在假设加密货币价格波动的情境下评估其影响。最后，在上述时间窗口内，运用多准则决策方法完成加密货币投资组合的构建。本研究所开发的系统适用于任意规模的企业，因所采用的方法可为战略决策流程赋予更强的理性与客观性。未来可对本研究提出的方法进行拓展，纳入利用加密货币市值信息的评价准则，同时可融入投资者情绪或投资预期损失等维度的考量。