Optimal Cryptocurrency Portfolio Management Model Based on Futures Contracts Using the Markowitz Model and Data Envelopment Analysis
Keywords:
Cryptocurrencies, Portfolio Management, Futures Contracts, Data Envelopment Analysis, Markowitz Model, Investment OptimizationAbstract
The present study aimed to develop an integrated model for optimal cryptocurrency portfolio management based on futures contracts using the Markowitz portfolio optimization model and Data Envelopment Analysis (DEA) to simultaneously optimize return, risk, and investment efficiency. This applied quantitative study employed a mathematical modeling approach. The statistical sample consisted of 20 selected cryptocurrencies from the global cryptocurrency market over the 2019–2024 period. Historical price and return data were collected from reputable financial databases. In the first stage, optimal asset allocation was determined using an extended Markowitz optimization framework. Subsequently, the relative efficiency of cryptocurrencies and generated portfolios was evaluated through network DEA. Expected return, portfolio risk, and efficiency indicators were used to assess investment performance and compare alternative portfolio structures. The results revealed a positive relationship between risk and expected return in cryptocurrency markets. Portfolio diversification significantly improved the efficient frontier and enhanced risk-adjusted performance. The Markowitz optimization process allocated higher weights to assets with superior risk–return characteristics, with Bitcoin and Ethereum emerging as core portfolio components. Efficient frontier analysis demonstrated that the selected portfolio achieved a more favorable risk–return tradeoff than competing alternatives. Furthermore, DEA results indicated that the combined use of portfolio optimization and efficiency evaluation effectively identified superior cryptocurrency investment structures. The integration of spot investments and futures contracts reduced portfolio risk and improved risk-adjusted returns, confirming the effectiveness of the proposed framework. The integrated Markowitz–DEA framework provides an effective decision-support tool for cryptocurrency portfolio management by improving asset allocation efficiency, reducing investment risk, and enhancing overall portfolio performance. The proposed model offers practical implications for investors, portfolio managers, and financial decision-makers operating in highly volatile digital asset markets.
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