Browsing by Subject "Optimal portfolio"
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Item Open Access Does bitcoin improve optimal portfolios? A stochastic spanning approach(2020-09) Rahiminejat, MonirehThe thesis evaluates the impact of Bitcoin as a means of portfolio diversification on different stochastically efficient portfolios. Here, the stochastic efficient portfolios are the results obtained by applying the stochastic spanning model on 11 different asset classes of various sectors of the financial market. Bitcoin exclusive and inclusive portfolios are compared with Sharpe ratio. Results reveal that in most of the cases, Bitcoin improves the optimal portfolio and should be considered as an asset to be included in investments.Item Open Access The influence of Bitcoin on portfolio diversification and design(Elsevier, 2020) Akhtaruzzaman, M.; Şensoy, Ahmet; Corbet, S.We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index, allowing an investment in Bitcoin to hedge the risk against industry portfolios and bonds. The most effective hedge in a Bitcoin/industry (bond) portfolio is to short Utilities sector. Results are robust to the use of US industry portfolios and a cryptocurrency index instead of global industry portfolios and Bitcoin, respectively. Our results can help investors make informed decisions with regard to risk management and portfolio analysis.