Post-doc Research Fellow
Politecnico di Milano
Department Department of Management, Economics, and Industrial Engineering
FinTech/Finance Researcher in Financial Technologies, with focus on financial applications to cryptocurrency markets. Coordination team member of the FIN-TECH HO2020 project
Social media link: LinkedIn
The usage of cryptocurrencies, together with that of financial automated consultancy, is widely spreading in the last few years. However, automated consultancy services are not yet exploiting the potentiality of this nascent market, which represents a class of innovative financial products that can be proposed by robo-advisors. For this reason, we propose a novel approach to build efficient portfolio allocation strategies involving volatile financial instruments, such as cryptocurrencies. In other words, we develop an extension of the traditional Markowitz model which combines Random Matrix Theory and network measures, in order to achieve portfolio weights enhancing portfolios’ risk-return profiles. The results show that overall our model overperforms several competing alternatives, maintaining a relatively low level of risk.
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