Detail práce

Portfolio diversification with cryptoassets

Autor: Bc. Matúš Chládek
Rok: 2019 - zimní
Vedoucí: prof. PhDr. Ladislav Krištoufek Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 82
Abstrakt: This thesis investigates diversification benefits of Bitcoin and Ethereum. Technological
innovation that made them possible, is interesting but for investors hard to grasp. The
more important question is whether they should buy the digital currency or avoid it. We
analyze Bitcoin and Ethereum from point of view of an investor within compatible with
mean-variance (and non-mean-variance respectively) framework. Both cryptoassets are
alternately added to base portfolio consisting of global indices representing American,
European and Asian markets. Statistically rigorous tests suggest that Bitcoin yields added value to investors with utility function consistent with mean-variance setting. Same
holds for for investors with preferences described by exponential and power utility function. Ethereum shows similar results with exception of exponential utility. Performance
benefits of both assets are preserved in the out-of-sample setting as size of test window
reaches 28 weeks and increases. In the case of shorter test window, base assets show
similar or slightly superior performance. Optimal allocation in out-of-sample framework
is found by direct utility maximization with gradient based method.




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