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2019, vol. 48, br. 4, str. 44-63
Bitcoin i diversifikacija portfolija - perspektiva globalnog investitora
aCentralna banka Bosne i Hercegovine, Sarajevo, Bosna i Hercegovina
bSchool of Economics, Wuhan University of Technology, Wuhan, Hubei, China

e-adresatijana.soja@cbbh.ba, chamil@whut.edu.cn
Sažetak
U ovom istraživanju se ispituje da li je poželjno u investicioni portfolio koji sadržava tradicionalne finansijske instrumente uključiti Bitcoin. Cilj rada jeste da se istraži da li Bitcoin može biti dobar izvor diversifikacije, ukoliko se posmatra investitor koji investira sredstva na globalnom finansijskom tržištu. Za tu svrhu kreirana su dva portfolija: portfolio kojem je cilj minimalizovanje rizika i portfolio koji je označen kao "agresivni", a koji nudi veće stope povraćaja na dnevnom nivou, ali i veći rizik. Portfoliji su kreirani primenom Markowitz teorije optimizacije, a uključili su tradicionalne instrumente (akcije, obveznice, zlato) i Bitcoin. Korišćeni su podaci visoke frekvencije (dnevni podaci). Analizirani period je od kraja jula 2010. godine do kraja juna 2019. godine, što predstavlja period aktivnog trgovanja Bitcoin-om. Rezultati istraživanja pokazuju da Bitcoin može biti dobar izvor diversifikacije u portfoliju koji sadrži tradicionalne aktive (zlato, obveznice i akcije), kako za investitora koji nije sklon riziku, tako i za one investitore koji imaju veći apetit za rizik. Ipak, uzimajući u obzir visoki stepen volatilnosti, investitori treba da budu veoma pažljivi kada donose odluke o uključivanju Bitcoin-a u portfolio.
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O članku

jezik rada: srpski, engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/bankarstvo1904044S
objavljen u SCIndeksu: 18.02.2020.
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