This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtosis Minimization methodology, along with other optimization strategies, to construct and assess portfolios across various rebalancing frequencies. Our empirical analysis reveals significant volatility, skewness, and kurtosis in cryptocurrencies, highlighting the need for sophisticated portfolio management techniques. We discover that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, especially in shorter-term investment horizons, delivering optimal returns to investors. Additionally, our findings emphasize the importance of dynamic portfolio management, stressing the necessity of regular rebalancing in the volatile cryptocurrency market. Overall, this study offers valuable insights into optimizing cryptocurrency portfolios, providing practical guidance for investors and portfolio managers navigating this rapidly evolving market landscape.

中文翻译：

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分析加密货币市场的投资组合优化：使用每小时数据方法的短期投资策略比较研究

本文研究了加密货币市场背景下的投资组合优化方法和短期投资策略，重点关注 2020 年 6 月至 2024 年 3 月的十种主要加密货币。使用每小时数据，我们应用峰度最小化方法以及其他优化策略，跨各种再平衡频率构建和评估投资组合。我们的实证分析揭示了加密货币的显着波动性、偏度和峰度，凸显了对复杂投资组合管理技术的需求。我们发现峰度最小化方法始终优于其他优化策略，尤其是在短期投资期限内，为投资者带来最佳回报。此外，我们的研究结果强调了动态投资组合管理的重要性，强调了在波动的加密货币市场中定期重新平衡的必要性。总体而言，这项研究为优化加密货币投资组合提供了宝贵的见解，为投资者和投资组合经理应对快速发展的市场格局提供了实用指导。