I will be visiting the Hochschule für Technik und Wirtschaft Berlin (Berlin) as an Academic Visitor for the period September, 26 – October, 04 2022, as a response to a invitation from Dr. Alla Petukhina.
We were involved into several common research and training activities over the last 2.5 years, such as participation in the management committee of the COST action CA19130 - Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry, being among the core team of a FINTECH-HO2020 project (finished in June 2021).
In October 2021, Dr. Alla Petuckhina was an academic visitor in my university and we initiated a joint research project on „Robustified Markowitz approach for cryptocurrencies”. The proposed research collaborative project is application and an extension of the robust portfolio allocation approach developed by Klochkov et al. (2021) for cryptocurrencies’ asset class. Klochkov et al (2021) they are concentrated on the analysis only of global minimum variance portfolios with application to equity markets. As it was shown in Petukhina et al (2021) strategies minimizing risk do not benefit from the addition to the investment universe of cryptocurrencies.
During the visit in 2021 we prepared the dataset for the analysis, adjusted the code, and some preliminary results were presented at the Haindorf seminar 2022 and WG1 research seminar in January 2022. The paper was extended to a robust classification of portfolios in high dimensional space; the code, backtesting and preliminary results are ready.
The goal of this visit is to describe results and write up a paper, contributing to WG1 and WG2 goals. During the research visit, it is planned to prepare the outline of the joint paper and get preliminary empirical results for further presentation at annual 6th edition of European Alternative Finance Research Conference, organized by University of Utrecht on October 5, 2022, supported by CA19130 FinAI.