文章基本信息

标题：Can Bitcoin Replace Gold in an Investment Portfolio?
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作者：Henriques, Irene ; Sadorsky, Perry
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2018
卷号：11
期号：3
页码：1-19
出版社：MDPI, Open Access Journal
摘要：Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a portfolio with gold to a portfolio with bitcoin. These results are robust to the inclusion of trading costs.
关键词：Bitcoin; gold; GARCH; portfolio modelling; risk management