Does bitcoin improve optimal portfolios? A stochastic spanning approach

Date
2020-09
Advisor
Şensoy, Ahmet
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Publisher
Bilkent University
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Language
English
Type
Thesis
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Abstract

The 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.

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Keywords
Bitcoin, Diversification, Optimal portfolio, Stochastic dominance, Stochastic spanning
Citation
Published Version (Please cite this version)