Utilize este identificador para referenciar este registo: http://hdl.handle.net/11144/5603
Título: Is Bitcoin a Good Investment Asset?
Autor: Apolónia, João
Abreu, Margarida
Palavras-chave: bitcoin
individual portfolio
portfolio optimization
efficient frontier
Monte Carlo simulation
Data: Dez-2021
Editora: CICEE. Universidade Autónoma de Lisboa
Citação: 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
Resumo: 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.
Revisão por Pares: 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
Aparece nas colecções:ERBE - European Review of Business Economics. Vol.1, nº2(2021)

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