Should cryptocurrencies populate modern portfolios, and to what degree? How can von Neumann-Morgenstern utility theory determine which portfolio is best? For this thesis, we take six cryptocurrencies and six stocks to create optimal portfolios from each and a combination of both. Then we compare the expected utility from each portfolio, with and without short selling, to a benchmark. As concluded from our data, cryptocurrencies should be a part of a modern portfolio to increase the Sharpe ratio and expected utility even if they do not take a majority proportion.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-59313 |
| Date | January 2022 |
| Creators | Wright, Richard |
| Publisher | Mälardalens universitet, Akademin för utbildning, kultur och kommunikation |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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