Pregledni rad
https://doi.org/10.51650/ezrvs.20.1-2.11
Cryptocurrencies And Investment Portfolio Optimization: A Review Of Diversification Effects
Anita Grubišić
; Veleučilište u Šibeniku, Šibenik, Hrvatska
*
Matija Blaće
; Ekonomski fakultet Sveučilišta u Rijeci, Rijeka, Hrvatska
* Dopisni autor.
Sažetak
Given the remarkable growth of market capitalization and increasing institutional acceptance, cryptocurrencies have become an unavoidable element of modern financial markets. The purpose of this paper is to examine the role of cryptocurrencies, primarily Bitcoin and Ethereum, in the diversification and risk-adjusted performance of investment portfolios. The paper applies a narrative and comparative review of recent empirical studies, complemented by illustrative empirical elements (a correlation matrix and an efficient frontier drawn from prior research), to determine whether cryptocurrencies can serve as an effective diversification instrument. The reviewed literature indicates that the inclusion of cryptocurrencies in traditional portfolios (stocks, bonds, gold) may improve the Sharpe ratio and overall performance, despite their inherently high volatility. This phenomenon is associated in the literature with the relatively low correlation of crypto assets with certain traditional financial instruments, primarily bonds and gold. However, a comparative analysis of methodological approaches reveals that the classic Markowitz mean-variance model is not adequate for cryptocurrencies due to asymmetric distributions and tail risks. Therefore, the application of advanced models such as GARCH Copula and Conditional Value at Risk (CVaR) is recommended for optimization. Based on the literature review, it is concluded that cryptocurrencies act primarily as a diversifier, but not necessarily as a safe haven during periods of extreme market shocks, and their limited allocation in the portfolio is recommended.
Ključne riječi
cryptocurrencies; portfolio optimization; diversification; risk management; Bitcoin.
Hrčak ID:
349836
URI
Datum izdavanja:
27.7.2026.
Posjeta: 0 *