Should well-diversified portfolios contain cryptocurrencies? A quantitative analysis based on portfolio performance measures
Master thesis
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https://hdl.handle.net/10642/7076Utgivelsesdato
2018Metadata
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Sammendrag
In this thesis we study whether cryptocurrencies should be included in a well-diversified portfolio or
not. Moreover, we try to determine if the capital asset pricing model holds for cryptocurrencies, like
other investments assets. We conclude that cryptocurrencies should be a part of a well-diversified
portfolio. We make this conclusion based on the results from a selection of the most used financial
performance metrics. We also conclude that the capital asset pricing model holds for
cryptocurrencies. The data period we have looked at spans from 2010 and to the end of 2017,
which is a relatively short time period and therefore a limitation in this study. Our results show that
cryptocurrencies have been an excellent investment opportunity in the time period of our research.
Outperforming the traditional assets, cryptocurrencies provides a better return considering the risk,
either the systematic, unsystematic or whole risk.
Beskrivelse
Master i økonomi og administrasjon