Bitcoin in portfolio diversification: The perspective of a global investor
This paper examines whether it is advisable to include some portion of Bitcoin in a portfolio of traditional financial assets. The goal is to explore whether Bitcoin could be a good source of diversification from the perspective of a global investor. Two portfolios have been created for this purpose...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Association of Serbian Banks
2019-01-01
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| Series: | Bankarstvo |
| Subjects: | |
| Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2019/1451-43541904044Q.pdf |
| _version_ | 1818912303319351296 |
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| author | Šoja Tijana Senarathne Chamil W. |
| author_facet | Šoja Tijana Senarathne Chamil W. |
| author_sort | Šoja Tijana |
| collection | DOAJ |
| description | This paper examines whether it is advisable to include some portion of Bitcoin in a portfolio of traditional financial assets. The goal is to explore whether Bitcoin could be a good source of diversification from the perspective of a global investor. Two portfolios have been created for this purpose: a portfolio aimed at minimizing risk and a portfolio designated as "aggressive" that offers higher rates of daily return but also a higher risk. Portfolios were created using Markowitz's optimization theory and included traditional instruments (stocks, bonds, gold) and Bitcoin. In portfolio optimization, high-frequency data (daily data) were used. The analysed period is from the end of July 2010 to the end of June 2019, which is the period of active Bitcoin trading. The results show that Bitcoin could be a good source of diversification for a portfolio that consists of traditional financial instruments, for investors trading daily. It could be a good source of diversification for the risk-averse investor and those investors who have a higher risk appetite. Considering the high volatility of Bitcoin, the investors should be very careful when they decide to include Bitcoin in a portfolio. |
| first_indexed | 2024-12-19T23:12:27Z |
| format | Article |
| id | doaj.art-4d86e528d2d340bfb64582245d19f539 |
| institution | Directory Open Access Journal |
| issn | 1451-4354 2466-5495 |
| language | English |
| last_indexed | 2024-12-19T23:12:27Z |
| publishDate | 2019-01-01 |
| publisher | Association of Serbian Banks |
| record_format | Article |
| series | Bankarstvo |
| spelling | doaj.art-4d86e528d2d340bfb64582245d19f5392022-12-21T20:02:10ZengAssociation of Serbian BanksBankarstvo1451-43542466-54952019-01-0148444631451-43541904044QBitcoin in portfolio diversification: The perspective of a global investorŠoja Tijana0Senarathne Chamil W.1Centralna banka Bosne i Hercegovine, Sarajevo, Bosna i HercegovinaSchool of Economics, Wuhan University of Technology, Wuhan, Hubei, ChinaThis paper examines whether it is advisable to include some portion of Bitcoin in a portfolio of traditional financial assets. The goal is to explore whether Bitcoin could be a good source of diversification from the perspective of a global investor. Two portfolios have been created for this purpose: a portfolio aimed at minimizing risk and a portfolio designated as "aggressive" that offers higher rates of daily return but also a higher risk. Portfolios were created using Markowitz's optimization theory and included traditional instruments (stocks, bonds, gold) and Bitcoin. In portfolio optimization, high-frequency data (daily data) were used. The analysed period is from the end of July 2010 to the end of June 2019, which is the period of active Bitcoin trading. The results show that Bitcoin could be a good source of diversification for a portfolio that consists of traditional financial instruments, for investors trading daily. It could be a good source of diversification for the risk-averse investor and those investors who have a higher risk appetite. Considering the high volatility of Bitcoin, the investors should be very careful when they decide to include Bitcoin in a portfolio.https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2019/1451-43541904044Q.pdfdiversificationbitcoinportfolio theoryoptimizationriskreturn |
| spellingShingle | Šoja Tijana Senarathne Chamil W. Bitcoin in portfolio diversification: The perspective of a global investor Bankarstvo diversification bitcoin portfolio theory optimization risk return |
| title | Bitcoin in portfolio diversification: The perspective of a global investor |
| title_full | Bitcoin in portfolio diversification: The perspective of a global investor |
| title_fullStr | Bitcoin in portfolio diversification: The perspective of a global investor |
| title_full_unstemmed | Bitcoin in portfolio diversification: The perspective of a global investor |
| title_short | Bitcoin in portfolio diversification: The perspective of a global investor |
| title_sort | bitcoin in portfolio diversification the perspective of a global investor |
| topic | diversification bitcoin portfolio theory optimization risk return |
| url | https://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2019/1451-43541904044Q.pdf |
| work_keys_str_mv | AT sojatijana bitcoininportfoliodiversificationtheperspectiveofaglobalinvestor AT senarathnechamilw bitcoininportfoliodiversificationtheperspectiveofaglobalinvestor |