Simple and Effective Portfolio Construction with Crypto Assets

We consider the problem of constructing a portfolio that combines traditional financial assets with crypto assets. We show that despite the documented attributes of crypto assets, such as high volatility, heavy tails, excess kurtosis, and skewness, a simple extension of traditional risk allocation provides robust solutions for integrating these emerging assets into broader investment strategies. Examination of the risk allocation holdings suggests an even simpler method, analogous to the traditi