PORTFOLIO OPTIMIZATION IN THE ERA OF DIGITAL FINANCIALIZATION USING CRYPTOCURRENCIES
The article examines the issues of optimizing the cryptocurrency portfolio using the Markowitz, Sharp, and Quasi-Sharp models. The essence and characteristic features of cryptocurrencies are revealed. The main problems of conducting transactions with cryptocurrencies are highlighted, in particular, they include: uncertainty of the legal status, lack of accounting methods for transactions with virtual currencies, and uncertainty of taxation. A list of cryptocurrencies has been compiled according to the capitalization criterion, on the basis of which optimal portfolios are formed. Statistical data on changes in prices for the main types of world cryptocurrencies are systematized. The optimal structure of cryptocurrency portfolios with their different returns is calculated in the context of using the Markowitz, Sharp, and Quasi-Sharp models. An effective set of cryptocurrency portfolios was created for each model. The optimization results obtained using the Markowitz and Sharp models are similar, as these portfolios are characterized by low profitability and an insignificant number of cryptocurrencies, from which the optimal portfolio is formed. The highlighted advantage of the Quasi-Sharp model in the study is to obtain more diversified portfolios of cryptocurrencies. It is also found that the choice of a diversified portfolio is closely related to the tasks that the investor sets for himself. The conclusion is justified that at any level of risk, an optimized portfolio using cryptocurrencies is able to provide higher returns than individual portfolios for traditional instruments.