Date of Publication
9-2020
Document Type
Master's Thesis
Degree Name
Master of Science in Computational Finance
Subject Categories
Finance and Financial Management
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Ricarte Pinlac
Defense Panel Chair
Michael Munsayac
Defense Panel Member
Joseph James Lago
Frumencio Co
Abstract/Summary
Since there are limited literature in Bitcoin, this research is primarily explorative and employs a Modern Portfolio Theory to estimate parameters and draw conclusions from historical data. This study aims to focus on the effects of bitcoin in an already diversified portfolio through a (1) long-only and (2) semi-constrained portfolio. In addition, this research would like to determine whether there is (3) a significant difference in Bitcoin returns versus a portfolio benchmark using weekly data values of the global market portfolio (base portfolio) from August 20, 2010 to December 31, 2019. To conclude, after running a Monte Carlo Simulation given the constraint of no more than 25% asset weight allocation by maximizing the Sharpe Ratio, there has been no allocation for Bitcoin in the optimal portfolio. The addition of Bitcoin in an optimal global market portfolio will not affect the portfolio’s risk and return ratio whether in a Long-Only portfolio or a Semi-Constrained Portfolio. Likewise, there is a significant difference in the returns and volatility of Bitcoin compared to MSCI All Country World Index.
Abstract Format
html
Language
English
Format
Electronic
Keywords
Bitcoin
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Recommended Citation
Manlangit, J. (2020). A study on bitcoin as a diversifier in a global market portfolio. Retrieved from https://animorepository.dlsu.edu.ph/etd_masteral/6211
Embargo Period
8-12-2022