Please use this identifier to cite or link to this item: http://hdl.handle.net/11144/5603
Title: Is Bitcoin a Good Investment Asset?
Authors: Apolónia, João
Abreu, Margarida
Keywords: bitcoin
individual portfolio
portfolio optimization
efficient frontier
Monte Carlo simulation
Issue Date: Dec-2021
Publisher: CICEE. Universidade Autónoma de Lisboa
Citation: Apolónia, J. & M. Abreu. 2021. Is Bitcoin a Good Investment Asset? European Review of Business Economics I(2): 130-164. DOI:https://doi.org/10.26619/ERBE-2021.I.2.6
Abstract: This paper aims to analyze the consequences of adding Bitcoin to an investment portfolio. The main methodology used is the Mean-Variance model combined with the Monte Carlo Simulation. Results show that Bitcoin can improve the Sharpe Ratio of an already diversified portfolio, however the inclusion of Bitcoin has to be done in proportions averaging 3.83 percent of the portfolio’s weight. This paper also found that Bitcoin does not seem to behave as a safe haven/hedge asset during the Covid-19 pandemic.
Peer Reviewed: yes
URI: http://hdl.handle.net/11144/5603
metadata.dc.identifier.doi: https://doi.org/10.26619/ERBE-2021.I.2.6
ISSN: 2184-898X
Appears in Collections:ERBE - European Review of Business Economics. Vol.1, nº2(2021)

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