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| Title: | 加密貨幣對投資組合影響
The Effect of Cryptocurrency on Portfolio |
| Authors: | 陳冠愷
Chen, Kuan-Kai |
| Contributors: | 林靖庭
陳冠愷
Chen, Kuan-Kai |
| Keywords: | 現代投資組合理論
加密貨幣
比特幣
以太幣
幣安幣
馬可維茲
Modern Portfolio Theory
Cryptocurrentcy
Bitcoin
Ethereum
Binance
Markowitz |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:17:35 (UTC+8) |
| Abstract: | 科技隨著時代的變化，加密貨幣也跟著不停的成長，從2009年起發明的比特幣，到現在有多達上萬種不同的加密貨幣，加密貨幣在人們的生活中，不僅僅是投資或投機工具，同時也可以當作一種支付工具。在支付功能上，加密貨幣運用密碼學原理確保交易安全且去中心化的數位貨幣，減少第三方的成本，吸引更多人願意使用。
在投資方面，比特幣從2009年的一顆幾百塊台幣，到2017年的40幾萬台幣，2024年3月達到歷史新高200多萬台幣。許多投資人看到比特幣的報酬後，對於加密貨幣市場產生興趣，特別是願意承擔高風險的投資者。
本研究為了探討加密貨幣對於傳統投資組合的影響， 針對外匯與金屬商品、股票、 ETF的投資組合，將市值前三大的加密貨幣比特幣、以太幣、幣安幣納入其中，利用現 代投資組合理論方法，製作新的投資組合。結果發現，加密貨幣這種高風險資產帶來以 下優勢：首先，增加了投資選擇；其次，降低了投資組合的標準差；第三，在部分投資 組合中，提高了原本無法達到的報酬率。我們建議如果要將比特幣、以太幣和幣安幣納 入投資組合，主要以些許的比特幣為主，就可以獲得較佳的夏普比率。
As technology changes with the times, cryptocurrencies also keep growing. From the invention of Bitcoin in 2009 to the tens of thousands of different cryptocurrencies now, cryptocurrencies are not only an investment or speculation tool in people's lives, but can also be used as a payment tool. In terms of payment functions, cryptocurrencies use cryptographic principles to ensure secure transactions and are decentralized digital currencies, reducing thirdparty costs and attracting more people to use them.
In terms of investment, Bitcoin has gone from a few hundred New Taiwan dollars in 2009 to over 400,000 New Taiwan dollars in 2017, and in March 2024 it reached an all-time high of over 2 million New Taiwan dollars. Many investors have become interested in the cryptocurrency market after seeing the rewards of Bitcoin, especially those willing to take on high risk.
In this study, in order to investigate the impact of cryptocurrencies on traditional
investment portfolios, the top three cryptocurrencies by market capitalization, Bitcoin,
Ethereum, and Coin, are included in the portfolio of foreign exchange and metal commodities,
stocks, and ETFs, and a new investment portfolio is created by Modern Portfolio Theory. The
results show that cryptocurrencies, which are high-risk assets, offer the following advantages:
first, they increase investment choices; second, they lower the standard deviation of the
portfolio; and third, they increase the otherwise unattainable rate of return in some portfolios.
We suggest that if Bitcoin, Ethereum and Binance are to be included in a portfolio, with a little
bit of Bitcoin, which would result in better Sharpe ratios. |
| Reference: | Baur, D. G., Hong, K., & Lee, A. D. (2016). Virtual Currencies: Media Of Exchange or Speculative Asset? SWIFT Institute Working Paper, 007.
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, 192-198.
Ciaian, P., Rajcaniova, M., & Kancs, D. A. (2016). The economics of BitCoin price formation. Applied economics, 48(19), 1799-1815.
Eisl, A., Gasser, S. M., & Weinmayer, K. (2015). Caveat emptor: Does Bitcoin improve portfolio diversification?. SSRN Electronic Journal, 2408997.
Gandal, N., & Halaburda, H. (2016). Can we predict the winner in a market with network effects? Competition in cryptocurrency market. Games, 7(3), 16.
Markowitz, H. M. (1952) Portfolio selection. Journal of finance 7 (1), 71-91.
Sharpe, W. F. (1998). The sharpe ratio. Streetwise–the Best of the Journal of Portfolio Management, 3, 169-185.
Som, A., & Kayal, P. (2022). A multicountry comparison of cryptocurrency vs gold: Portfolio optimization through generalized simulated annealing. Blockchain: Research and Applications, 3(3), 100075. |
| Description: | 碩士
國立政治大學
金融學系
110352012 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110352012 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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