Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data
研究发现比特币对股票投资组合主动风险的贡献随时间增长，在防御策略中超过10%，并利用日内回报提高风险预测精度，为投资专业人士提供量化和管理加密货币风险暴露的指导。
We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.