University of Twente Student Theses


Analysis of Bitcoin Influence on Return on Risk

Hasper, J.H. (2022) Analysis of Bitcoin Influence on Return on Risk.

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Abstract:This study investigates whether the inclusion of Bitcoin in an already well-diversified portfolio can bring diversification benefits. This is done by investigating the risk-return properties of two identical portfolios, with the only difference between the portfolios being the inclusion of Bitcoin, during the period from the 1st of January 2016 to the end of 2021. A mean-variance spanning test together with a Wald test to assess spanning will be used in order to test whether the inclusion of Bitcoin provides a statistically significant difference. This study concludes that during the investigated period, the benchmark portfolio would have had better mean-variance tradeoffs if it included Bitcoin compared to without Bitcoin. In other words, Bitcoin has the potential to improve the Sharpe ratio and mean-variance tradeoffs of the benchmark portfolio while having low levels of correlation with the benchmark assets, which is beneficial for the portfolio’s return on risk.
Item Type:Essay (Bachelor)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:International Business Administration BSc (50952)
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