Don Kruger Dissertation Calculations with Macros.xlsm (15.21 MB)
The diversification benefits of cryptocurrencies in South African investment portfolios
datasetposted on 28.09.2021, 19:36 by Don KrugerDon Kruger
The data is spread over a multi-period frontier - T1, T2, and T3. The descriptive statistics, variance, covariance matrices, mean-variance analyses and other ancillary calculations are provided. The "P#" worksheets refers to the individual portfolios inclusive of crypto assets. The "C#" worksheets refer to portfolios exclusive of crypto assets. The "X#" worksheets refer to the amalgamated portfolio metrics for the associated period.