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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Diversification Benefits of Cryptocurrencies |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2021 |
| Abstract Text | This thesis tries to explain whether cryptocurrencies form a new asset class and if the inclusion of cryptocurrencies enhances a portfolio of a globally oriented US Dollar investor. It is found that cryptocurrencies form a new asset class. A correlation analysis shows low correlation of cryptocurrencies and therefore indicates diversification benefits. Mean-variance spanning tests confirm the diversification benefit and the step-down procedure explains the cause (risk, return, or both). At last, a Markowitz-optimization shows the changes in risk, return, and weights of the minimum-variance and the tangency portfolio. Concluding that a small inclusion of cryptocurrencies enhances the portfolio. |
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