Optimization of Dynamic Crypto Portfolios via Deep Reinforcement Learning Under Transaction Costs
The DRL-PPO strategy generated an annualized return of 37.22% under a 0.1% transaction cost constraint.
Yahoo Finance
Company · 6 documents
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85.0%
Bitcoin Buy-and-Hold CAGR (Yahoo Finance). Zenodo (CERN European Organization for Nuclear Research) p.6
Simulated Losses, Exchange-App Activity, and Bitcoin Buy-and-Hold: A Methodological Re-Examination of BIS Working Paper No. 1049
BIS Working Paper No. 1049 assembled a Sensor Tower panel of retail crypto-exchange app downloads and daily active users (DAUs) covering 95 countries from August 2015 to June 2022.
Overnight cryptocurrency downside and opening versus intraday equity returns in Southeast Asia
In Vietnam, a one-standard-deviation increase in cryptocurrency downside is associated with a 2.3-basis-point lower VN-Index opening return and a 14.9-basis-point lower intraday return.
Measuring and comparing investment risks for a sample of cryptocurrencies using the Value at Risk (VAR) model and the Conditional Value at Risk (CVAR) model
The dataset includes 1,095 daily observations per cryptocurrency, generating a total of 6,570 observations for analysis in EViews.
Reinforcement Learning-Driven Optimal Capital Allocation for Intelligent Finance
The proposed DAC-CPPO model achieves an overall accuracy of 97.6%, an MAE of 0.074, and an RMSE of 0.081 for portfolio optimization.
Market Efficiency and Predictable Supply Shocks: Short-Selling Returns Around IPO Lockups
A systematic backtest on 26 usable post-listing restricted-share events from 2020 through 2025 evaluated short-selling returns around lockup expirations.