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Authors
Advisor(s)
Abstract(s)
This dissertation aims to analyze the consequences of adding Bitcoin to an in- vestment portfolio. The main methodology used is the Mean-Variance model combined with the Monte Carlo Simulation. Results show that Bitcoin can im- prove the Sharpe Ratio of an already diversified portfolio, however the inclusion of Bitcoin has to be done in proportions averaging 3.83% of the portfolio’s weight. This dissertation also found that Bitcoin does not seem to behave as a safe haven/hedge asset during the Covid-19 pandemic.
Description
Mestrado Bolonha em Economia Monetária e Financeira
Keywords
Portfolio theory Bitcoin safe haven asset diversification
Pedagogical Context
Citation
Apolónia, João Miguel Guerreiro (2021). "Is bitcoin a good investment asset?". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão