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Corbet, Shaen, Lucey, Brian, Urquhart, Andrew, & Yarovaya, Larisa, “Cryptocurrencies as a financial asset: A systematic analysis”, International Review of Financial Analysis, 62, 182-199, 2019.

has been cited by the following article:

Article

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

1Finance and Accounting, Marmara University, Istanbul, Turkey

2Financial Economics, Yeditepe University, Istanbul, Turkey


Journal of Finance and Economics. 2021, Vol. 9 No. 4, 146-154
DOI: 10.12691/jfe-9-4-4
Copyright © 2021 Science and Education Publishing

Cite this paper:
Sabri Burak Arzova, 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.

Correspondence to: Caner  Özdurak, Financial Economics, Yeditepe University, Istanbul, Turkey. Email: caner.ozdurak@yeditepe.edu.tr

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.

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