Does bitcoin improve optimal portfolios? A stochastic spanning approach

buir.advisorŞensoy, Ahmet
dc.contributor.authorRahiminejat, Monireh
dc.date.accessioned2020-10-12T10:24:52Z
dc.date.available2020-10-12T10:24:52Z
dc.date.copyright2020-09
dc.date.issued2020-09
dc.date.submitted2020-10-06
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (M.S.): Bilkent University, Department of Management, İhsan Doğramacı Bilkent University, 2020.en_US
dc.descriptionIncludes bibliographical references (leaves 82-87).en_US
dc.description.abstractThe 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.provenanceSubmitted by Betül Özen (ozen@bilkent.edu.tr) on 2020-10-12T10:24:52Z No. of bitstreams: 1 10362152.pdf: 3950322 bytes, checksum: dbcd0266a7f1fe781e630813270b9daa (MD5)en
dc.description.provenanceMade available in DSpace on 2020-10-12T10:24:52Z (GMT). No. of bitstreams: 1 10362152.pdf: 3950322 bytes, checksum: dbcd0266a7f1fe781e630813270b9daa (MD5) Previous issue date: 2020-10en
dc.description.statementofresponsibilityby Monireh Rahiminejaten_US
dc.format.extentxii, 87 leaves : charts ; 30 cm.en_US
dc.identifier.itemidB160510
dc.identifier.urihttp://hdl.handle.net/11693/54198
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBitcoinen_US
dc.subjectDiversificationen_US
dc.subjectOptimal portfolioen_US
dc.subjectStochastic dominanceen_US
dc.subjectStochastic spanningen_US
dc.titleDoes bitcoin improve optimal portfolios? A stochastic spanning approachen_US
dc.title.alternativeBitcoin optimal portföyleri iyileştirir mi? Bir stokastik yayılma yaklaşımıen_US
dc.typeThesisen_US
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMBA (Master of Business Administration)

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