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Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?

Ahnhem, Kasper LU and Lindberg, Linus LU (2017) NEKN01 20171
Department of Economics
Abstract
This thesis is set out to examine the risk-adjusted performance impact of including Bitcoin in a Swedish investor’s portfolio, how the allocation of a Swedish investor’s portfolio changes by the inclusion of Bitcoin, and if Bitcoin should be part of a Swedish investor’s portfolio under pessimistic views. To examine these questions, we use the Sharpe ratio, Sortino ratio, Omega ratio and the Black-Litterman model. When maximizing the Sharpe ratio, Sortino ratio and Omega ratio, Bitcoin is included in the portfolio. However, Bitcoin is not part of the new portfolio suggested by the Black-Litterman model for 50 % and 35 % expected downfall, but a part of the portfolio for 10 % expected downfall.
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author
Ahnhem, Kasper LU and Lindberg, Linus LU
supervisor
organization
course
NEKN01 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
Bitcoin, digital currency, Sharpe ratio, Sortino ratio, Omega ratio, Black- Litterman Model, portfolio allocation
language
English
id
8912289
date added to LUP
2017-07-10 13:54:53
date last changed
2017-07-10 13:54:53
@misc{8912289,
  abstract     = {This thesis is set out to examine the risk-adjusted performance impact of including Bitcoin in a Swedish investor’s portfolio, how the allocation of a Swedish investor’s portfolio changes by the inclusion of Bitcoin, and if Bitcoin should be part of a Swedish investor’s portfolio under pessimistic views. To examine these questions, we use the Sharpe ratio, Sortino ratio, Omega ratio and the Black-Litterman model. When maximizing the Sharpe ratio, Sortino ratio and Omega ratio, Bitcoin is included in the portfolio. However, Bitcoin is not part of the new portfolio suggested by the Black-Litterman model for 50 % and 35 % expected downfall, but a part of the portfolio for 10 % expected downfall.},
  author       = {Ahnhem, Kasper and Lindberg, Linus},
  keyword      = {Bitcoin,digital currency,Sharpe ratio,Sortino ratio,Omega ratio,Black- Litterman Model,portfolio allocation},
  language     = {eng},
  note         = {Student Paper},
  title        = {Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?},
  year         = {2017},
}