Digital Portfolios
研究了数字资产（如风险投资、信贷资产和彩票）的最优组合特征，发现这些资产回报呈二元分布且具有高偏度和峰度，并提出了构建数字资产组合的投资者指南。
Digital assets are investments with binary returns: their payoffs are either very large or very small. The author explores the features of optimal portfolios of digital assets, such as venture investments, credit assets, and lotteries. These portfolios comprise correlated assets with joint Bernoulli distributions and have substantial skews and kurtosis. The intuitions of mean–variance analysis do not carry over to these portfolios. Using a simple, standard, fast recursion technique to generate a portfolio’s return distribution, the author derives investor guidelines for constructing digital-asset portfolios. Das finds that digital portfolios perform better when their assets are homogeneous in size but heterogeneous in the assets’ probability of success. <b>TOPICS:</b>Other real assets, portfolio construction, statistical methods