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2019, vol. 48, br. 4, str. 44-63
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Bitcoin i diversifikacija portfolija - perspektiva globalnog investitora
Bitcoin in portfolio diversification: The perspective of a global investor
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.
Abstract
This paper examines whether it is advisable to include some portion of Bitcoin in a portfolio of traditional financial assets. The goal is to explore whether Bitcoin could be a good source of diversification from the perspective of a global investor. Two portfolios have been created for this purpose: a portfolio aimed at minimizing risk and a portfolio designated as "aggressive" that offers higher rates of daily return but also a higher risk. Portfolios were created using Markowitz's optimization theory and included traditional instruments (stocks, bonds, gold) and Bitcoin. In portfolio optimization, high-frequency data (daily data) were used. The analysed period is from the end of July 2010 to the end of June 2019, which is the period of active Bitcoin trading. The results show that Bitcoin could be a good source of diversification for a portfolio that consists of traditional financial instruments, for investors trading daily. It could be a good source of diversification for the risk-averse investor and those investors who have a higher risk appetite. Considering the high volatility of Bitcoin, the investors should be very careful when they decide to include Bitcoin in a portfolio.
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