Investing in the Cryptocurrency Market: Analyzing the diversification effects of cryptocurrencies in a well-diversified portfolio

Keywords

Loading...
Thumbnail Image

Issue Date

2018-08-18

Language

en

Document type

Journal Title

Journal ISSN

Volume Title

Publisher

Title

ISSN

Volume

Issue

Startpage

Endpage

DOI

Abstract

In our paper we explore the effects of investing in cryptocurrencies, which currently compose an underdeveloped financial market. In line with previous research, we find solid improvements of an investor’s portfolio when adding Bitcoin to a well-diversified portfolio. We furthermore show that later generations of cryptocurrencies Stellar Lumen and Litecoin provide solid improvements when included within an investor’s portfolio. Similar diversification effects for cryptocurrencies like Monero and Ripple are found. By using a Mean-Variance analysis in combination with Monte Carlo methods, we reveal the added value of investing in the cryptocurrency market.

Description

Citation

Supervisor

Faculty

Faculteit der Managementwetenschappen

Specialisation