The paper applies standard GARCH, portfolio optimization, and Esscher-transform option pricing to seven crypto assets, but its own results contradict the abstract's claim that both optimized portfolios beat the S&P 500.
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Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation
The paper applies standard GARCH, portfolio optimization, and Esscher-transform option pricing to seven crypto assets, but its own results contradict the abstract's claim that both optimized portfolios beat the S&P 500.