Kryptovalutors betydelse i framtida portföljer

Abstract

The aim of this thesis is to examine whether cryptocurrencies should be included in future investment portfolios or not. This thesis not only focuses on Bitcoin, but also uses the Bloomberg Galaxy Crypto Index to represent the cryptocurrency market as a whole. In search of higher expected returns and new diversification opportunities, this report investigates the historical behaviour of cryptocurrencies and simulates future possible scenarios by using Monte-Carlo simulations and portfolio optimizations. After comparing average Sharpe Ratio:s and doing a number of robustness checks, a conclusion based on data can be drawn. The findings of this study show an average cryptocurrency allocation of approximately 2% to effectively improve an investment portfolio. By including cryptocurrencies in a portfolio it will get a higher expected return in relation to risk.