Using Deep Learning Conditional Value‐at‐Risk Based Utility Function in Cryptocurrency Portfolio Optimisation
提出一种基于深度学习条件风险价值效用函数的新方法，用于构建加密货币投资组合以应对尾部风险，测试表明该方法优于传统优化模型。
ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio. In this paper, we propose a new approach to portfolio construction based on a deep learning CVaR utility function. This approach is designed to address the issue of tail risk. We evaluate the performance of this approach in comparison to other portfolio construction techniques, including the naïve, minimum variance and mean‐variance portfolios. Our findings indicate that the proposed approach outperforms traditional optimisation models.