Journal of Finance and Economics
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Journal of Finance and Economics. 2021, 9(4), 146-154
DOI: 10.12691/jfe-9-4-4
Open AccessArticle

Optimal Cryptocurrency and BIST 30 Portfolios with the Perspective of Markowitz Portfolio Theory

Sabri Burak Arzova1 and Caner Özdurak2,

1Finance and Accounting, Marmara University, Istanbul, Turkey

2Financial Economics, Yeditepe University, Istanbul, Turkey

Pub. Date: July 27, 2021

Cite this paper:
Sabri Burak Arzova and Caner Özdurak. Optimal Cryptocurrency and BIST 30 Portfolios with the Perspective of Markowitz Portfolio Theory. Journal of Finance and Economics. 2021; 9(4):146-154. doi: 10.12691/jfe-9-4-4

Abstract

We apply the Markowitz mean-variance framework to assess risk-return benefits of cryptocurrency-portfolios. Using daily data of the three major cryptocurrencies for the time span 1/1/2019 to 27/04/2021, we relate risk and return of different mean-variance portfolio strategies to Bitcoin, Etherium, Ripple and BIST 30 benchmark. We find that combining cryptocurrencies crowds out BIST 30 index to maximize return and Sharpe ratio while cryptocurrencies are crowded out if the optimization problem is changed to a risk minimization problem rather than a return maximization problem. Furthermore, according to rolling-window approach shift from Bitcoin to Etherium is important.

Keywords:
cryptocurrencies portfolio optimization markowitz

Creative CommonsThis work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/

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