Abstract
At the end of 2017, the total market capitalization of the crypto-currencies then represented more than 800 billion USD according to the well reputed website coin-marketcap. One year later, at the beginning of January 2019, this capitalization was only 120 billion USD and more than two years later, at the end of May 2021, it was about 2,4 trillion USD. Investors and financial asset portfolio managers see this rapid low and high fluctuations as a potential investment opportunity, subjected to an optimal rick mitigation and cryptoasset selection strategy.
This dissertation focuses on the selection and optimisation of a cryptoasset portfolio, using K-means clustering algorithm and GARCH C-Vine copula model combined with differential evolution algorithm. This integrated approach allows the construc-tion a diversified portfolio of seven cryptocurrencies and determines an optimal al-location strategy making it possible to minimize the conditional value-at-risk of the portfolio and maximise the return. Our result shows that stablecoin such as True-USD is negatively correlated to the other cryptoassets in the portfolio and could therefore be safe haven for crypto-investors during market turmoil. Our findings are in line with previous studies exhibiting stablecoins as potential diversifiers.