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dc.contributor.authorRapp, Anton
dc.contributor.authorThorwaldsson, Henrik
dc.date.accessioned2022-07-11T13:04:39Z
dc.date.available2022-07-11T13:04:39Z
dc.date.issued2022-07-11
dc.identifier.urihttps://hdl.handle.net/2077/72752
dc.description.abstractThis thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. We evaluate the performance of the optimal portfolio and compare it to the minimum variance portfolio based on the risk measures Sharpe ratio and Conditional Value at Risk. We find that the optimal portfolio consists of almost a third position towards cryptocurrency. Compared to how previous studies of portfolios have diversified towards cryptocurrencies our study finds that the optimal portfolio consists of a higher percentile amount of cryptocurrencies. Our second major finding is that a smaller diversification towards cryptocurrencies can give less volatility compared to investing fully in a traditional index, such as, S&P 500. The latter result contradicts some previous investment advice that cryptocurrency has too high volatility for diversification benefits.en
dc.language.isoengen
dc.relation.ispartofseries202207:117en
dc.subjectPortfolio optimizationen
dc.subjectMiniumum variance portfolioen
dc.subjectCapital allocation lineen
dc.subjectCryptocurrencyen
dc.subjectDiversificationen
dc.titlePortfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500en
dc.title.alternativePortföljoptimering: Sökandet efter en optimal portfölj med kryptovalutor och S&P 500en
dc.typetext
dc.setspec.uppsokSocialBehaviourLaw
dc.type.uppsokM2
dc.contributor.departmentUniversity of Gothenburg/Department of Economics
dc.contributor.departmentGöteborgs universitet/Institutionen för nationalekonomi med statistik
dc.contributor.departmentUniversity of Gothenburg/Department of Business Administration
dc.contributor.departmentGöteborgs universitet/Företagsekonomiska institutionen
dc.type.degreeStudent essay


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