Volume 23, Issue 2 (6-2026)
jor 2026, 23(2): 69-104 |
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Ghanbari H, Mohammadi E. A Novel Dual-Stage Strategy for Cryptocurrency Portfolio Optimization under Fuzzy Environment. jor 2026; 23 (2) :69-104
URL: http://jamlu.lahijan.iau.ir/article-1-2315-en.html
URL: http://jamlu.lahijan.iau.ir/article-1-2315-en.html
Department of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran , e_mohammadi@iust.ac.ir
Abstract: (159 Views)
The cryptocurrency market is highly volatile, making effective portfolio optimization essential for balancing risk and return. Traditional optimization models often struggle with market uncertainty and overlook the importance of selecting fundamentally strong assets. This study proposes a dual-stage investment framework to address these limitations. First, high-potential cryptocurrencies are systematically pre-selected using a hybrid multi-criteria evaluation. Second, the selected assets are optimized using a credibilistic Value-at-Risk (VaR) model, incorporating practical investment constraints. The results show that this integrated approach produces more robust and efficient portfolios than conventional methods, enabling better risk management and improved return potential in uncertain cryptocurrency markets.
Keywords: Portfolio Optimization, Asset Preselection, Cryptocurrency Performance Criteria, TOPSIS Algorithm, Value At Risk (Var), Fuzzy Credibility Theory.
Type of Study: Research |
Subject:
Special
Received: 2025/08/31 | Accepted: 2026/02/1 | Published: 2026/06/22
Received: 2025/08/31 | Accepted: 2026/02/1 | Published: 2026/06/22
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