Does bitcoin improve optimal portfolios? A stochastic spanning approach
Date
2020-09
Authors
Editor(s)
Advisor
Şensoy, Ahmet
Supervisor
Co-Advisor
Co-Supervisor
Instructor
Source Title
Print ISSN
Electronic ISSN
Publisher
Volume
Issue
Pages
Language
English
Type
Journal Title
Journal ISSN
Volume Title
Series
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.
Course
Other identifiers
Book Title
Keywords
Degree Discipline
Business Administration
Degree Level
Master's
Degree Name
MBA (Master of Business Administration)