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Optimizing Cryptocurrency Investments: A Study of Portfolio Rebalancing Techniques
Junichi Takeda , Graduate School of Economics, University of Tokyo, Japan Sara Oliveira , Blockchain Research Institute, University of Lisbon, PortugalAbstract
Cryptocurrency markets have gained significant attention from investors due to their high volatility and potential for substantial returns. However, managing cryptocurrency portfolios effectively requires robust strategies that can balance risk and return. Rebalancing is a common technique used by investors to maintain a desired asset allocation. This study aims to compare various rebalancing strategies for optimizing cryptocurrency portfolios. We evaluate the performance of different strategies, including fixed-interval rebalancing, threshold-based rebalancing, and time-weighted rebalancing, using historical data from popular cryptocurrencies such as Bitcoin (BTC), Ethereum (ETH), and Litecoin (LTC). Results show that while fixed-interval rebalancing yields consistent returns, threshold-based rebalancing offers superior risk-adjusted performance. These findings suggest that a dynamic approach, incorporating threshold-based rebalancing, may enhance portfolio optimization in the context of cryptocurrencies.
Keywords
Cryptocurrency Portfolios, Rebalancing Strategies, Fixed-Interval Rebalancing
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Copyright (c) 2025 Junichi Takeda, Sara Oliveira
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