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2021, vol. 69, br. 5-6, str. 318-332
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Ispitivanje portfolio optimizacije ulaganjem u berzanske indekse i bitkoin
Testing of portfolio optimization through investments in stock market indices and Bitcoin
aUniverzitet za poslovne studiјe, Fakultet za poslovne i finansiјske studiјe, Banja Luka, Republika Srpska, BiH
bUniverzitet u Banjoj Luci, Ekonomski fakultet, Republika Srpska, BiH
Sažetak
Rad se bavi empirijskom provjerom djelotvornosti i korisnosti diverzifikacije ulaganja koristeći glavne berzanske indekse i bitkoin. Cilj istraživanja je da se utvrde efekti primjene Markoviceve portfolio diverzifikacije odnosno optimizacije portfolija, tj. koristi od primjene moderne portfolio teorije za institucionalne investitore. Istraživanje će ponuditi odgovor na pitanje: "Koje su prednosti i nedostaci korištenja bitkoina u optimizaciji portfolija?" Doprinos rada ogleda se kroz predstavljanje dometa i ograničenja moderne portfolio teorije za institucionalne investitore. Zaključak je da racionalno ponašanje institucionalnih investitora nalaže razmatranje optimizacije portfolija upotrebom Markovicevog modela, jer je moguće kreirati portfolije koji na bazi istorijskih prinosa daju željene prinose uz određene rizik. Metodologija podrazumjeva analizu podataka visoke frekvencije, odnosno korišteni su dnevni podaci o trgovanju. Međutim, rezultati primjene značajno odstupaju od očekivanog prinosa. Rezultati pokazuju da je upotreba Markovicevog metoda portfolio selekcije, uz sva ograničenja, poželjna, moguća i primjenljiva, ali da ona ima ozbiljna ograničenja u smislu zanemarivanja transakcionih troškova, kursnih razlika i stvarne trgovine na berzi. Rezultati pokazuju da bitkoin predstavlja dobar izvor diverzifikacije u portfoliju koji sadrži tradicionalne finansijske instrumente kako za investitora koji nije sklon riziku, tako i za one investitore koji imaju veći apetit za rizik. Zaključak je da racionalno ponašanje institucionalnih investitora nalaže razmatranje ulaganja u bitkoin upotrebom Markovicevog modela. Ipak, uzimajući u obzir visoki stepen volatilnosti, investitori treba da budu veoma pažljivi kada donose odluke o uključivanju bitkoina u portfolio.
Abstract
This paper presents an empirical verification of the effectiveness and usefulness of investment diversification using the main stock exchange indices and Bitcoin. The objective is to determine the effects applying the Markowitz portfolio optimization theory, i.e., the advantages of applying the modern portfolio theory for institutional investors. The research offers an answer to the following question: what are the advantages and disadvantages of using Bitcoin in portfolio optimization? The paper contributes to the representation of the reach and limitations of the modern portfolio theory for institutional investors. The conclusion is that rational behaviour of institutional investors requires consideration of portfolio optimization using the Markowitz model, because it is possible to create portfolios which, on the basis of historical returns, provide desired returns alongside certain risks. The methodology includes the analysis of high frequency data, i.e., daily trading data were used. The results indicate that the use of the Markowitz portfolio selection method, with all its limitations, is desirable, possible and applicable, but that it entails serious flaws in the sense of neglecting transaction costs, foreign exchange differences and the real value in the stock market. The results of the research show that Bitcoin is a good source of diversification in a portfolio that contains traditional financial instruments both for the risk-averse investor as well as for those investors who have a greater appetite for risk. The conclusion is that rational behavior of institutional investors requires consideration of investing in Bitcoin using the Markowitz model. However, given the high degree of volatility, investors should be very careful when making decisions about including Bitcoin in the portfolio.
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