An Empirical Framework for Evaluating and Selecting Cryptocurrency Funds Using DEMATEL-ANP-VIKOR.
Saved in:
| Title: | An Empirical Framework for Evaluating and Selecting Cryptocurrency Funds Using DEMATEL-ANP-VIKOR. |
|---|---|
| Authors: | Shabani, Mostafa, Tavakoli, Sina, Ghanbari, Hossein, Kumar, Ronald Ravinesh, Stauvermann, Peter Josef |
| Source: | Journal of Risk & Financial Management; Jan2026, Vol. 19 Issue 1, p29, 31p |
| Subject Terms: | CRYPTOCURRENCIES, MULTIPLE criteria decision making, RISK-return relationships, ANALYTIC network process, INVESTMENT policy, FINANCIAL performance |
| Abstract: | The acceleration of financial innovation and pro-crypto regulations in the digital asset space have spurred interest in cryptocurrencies among funds, and institutional and retail investors. Like any risky assets, investment in digital assets offers opportunities in terms of returns and challenges in terms of risk. However, unlike traditional assets, digital assets like cryptocurrencies are highly volatile. Accordingly, applying conventional single-criterion financial metrics for portfolio construction may not be sufficient as the method falls short in capturing the complex, multidimensional risk-return dynamics of innovative financial assets like cryptocurrencies. To address this gap, this study introduces a novel, integrated hybrid Multi-Criteria Decision-Making (MCDM) framework that provides a structured, transparent, and robust approach to cryptocurrency fund selection. The framework seamlessly integrates three well-established operations research methodologies: the Decision-Making Trial and Evaluation Laboratory (DEMATEL), the Analytic Network Process (ANP), and the Vlse Kriterijumsk Optimizacija I Kompromisno Resenje (VIKOR) algorithm. DEMATEL is utilized to map and analyze the intricate causal interdependencies among a comprehensive set of evaluation criteria, categorizing them into foundational "cause" factors and resultant "effect" factors. This causal structure informs the ANP model, which computes precise criterion weights while accounting for complex feedback and dependency relationships. Subsequently, the VIKOR algorithm is invoked to use these weights to rank cryptocurrency fund alternatives, delivering a compromise between optimizing group utility and minimizing individual regret. To illustrate the application and efficacy of the proposed method, a diverse set of 20 cryptocurrency funds is analyzed. From the analysis, it is shown that foundational criteria, such as "Fee (%)" and "Annualized Standard Deviation," are the primary causal drivers of financial performance outcomes of funds. This proposed framework supports strategic capital allocation in a rapidly evolving domains of digital finance. [ABSTRACT FROM AUTHOR] |
| Copyright of Journal of Risk & Financial Management is the property of MDPI and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Database: | Complementary Index |
Full Text Finder 
Nájsť tento článok vo Web of Science Be the first to leave a comment!