Does bitcoin improve optimal portfolios? A stochastic spanning approach
| buir.advisor | Şensoy, Ahmet | |
| dc.contributor.author | Rahiminejat, Monireh | |
| dc.date.accessioned | 2020-10-12T10:24:52Z | |
| dc.date.available | 2020-10-12T10:24:52Z | |
| dc.date.copyright | 2020-09 | |
| dc.date.issued | 2020-09 | |
| dc.date.submitted | 2020-10-06 | |
| dc.description | Cataloged from PDF version of article. | en_US |
| dc.description | Includes bibliographical references (leaves 82-87). | en_US |
| dc.description.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. | en_US |
| dc.description.statementofresponsibility | by Monireh Rahiminejat | en_US |
| dc.format.extent | xii, 87 leaves : charts ; 30 cm. | en_US |
| dc.identifier.itemid | B160510 | |
| dc.identifier.uri | http://hdl.handle.net/11693/54198 | |
| dc.language.iso | English | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Bitcoin | en_US |
| dc.subject | Diversification | en_US |
| dc.subject | Optimal portfolio | en_US |
| dc.subject | Stochastic dominance | en_US |
| dc.subject | Stochastic spanning | en_US |
| dc.title | Does bitcoin improve optimal portfolios? A stochastic spanning approach | en_US |
| dc.title.alternative | Bitcoin optimal portföyleri iyileştirir mi? Bir stokastik yayılma yaklaşımı | en_US |
| dc.type | Thesis | en_US |
| thesis.degree.discipline | Business Administration | |
| thesis.degree.grantor | Bilkent University | |
| thesis.degree.level | Master's | |
| thesis.degree.name | MBA (Master of Business Administration) |