| Abstract [eng] |
The main purpose of this work is to find out what impact have cryptocurrencies for the investment portfolio results and for which type of investors it would help to meet investment objectives. This work consists of three main parts: literature analysis, practical part of the research and conclusion, recommendations. A review of literature introduces cryptocurrencies as a financial innovation and presents their advantages and disadvantages. It also provides insights of cryptocurrency features as investment measure and benefits to investors, their valuation techniques. There is described information about portfolio optimization theories as well as differences between traditional and alternative asset classes and types of investors. In order to assess the novelty of the topic and level of investigation previous research on the inclusion of cryptocurrencies in the optimal investment portfolio is discussed. The study uses three optimization formulas derived from the objectives and risk tolerance of each type of investor. Analysis of 15 selected assets using Pearson correlation and descriptive statistics resulted in 24 investment portfolios. H. Markowitz's portfolio theory and the Sharpe ratio were used to optimize these portfolios. Their performance was also measured by ratios such as Sortino, Omega, Diversification, Treynor, Jensen Alpha and Information. The study revealed that the optimal diversified portfolio of a conservative investor with the lowest risk includes small part (0,09 %) of the cryptocurrency index CRIX. The aggressive investor's portfolio consists solely of cryptocurrencies (Bitcoin, Ether, Ripple and Litecoin). Meanwhile the rational investor portfolio, which maximizes the Sharpe ratio, includes various asset classes in its composition, including the Bitcoin, Ether and CRIX index. Such research found that cryptocurrencies should be considered as an alternative investment for portfolio diversification and optimization. The conclusions and recommendations discuss the main insights from the literature analysis, evaluate the hypotheses raised at the beginning of the study, and summarize the results obtained. The author believes that the study should help investors to better assess the characteristics of cryptocurrencies as investment measure and make it easier to decide when to include them in the investment portfolio. |
