Keywords
Cryptocurrency
Portfolio Selection
Asset Allocation
Brazilian Capital Market.
How to Cite
Abstract
Purpose – This paper aims to investigate if the inclusion of Bitcoin among the assets available to retail investors in the Brazilian market has an impact on the efficient frontier and, therefore, on the optimal choices of investors.
Design/methodology/approach – This study calculates the efficient frontier with and without the inclusion of Bitcoin and estimates optimal portfolios for different criteria and time intervals. The sample period runs from 07/01/2013 to 06/30/2018 and the daily closing values of the selected assets/indices were used.
Findings – This study finds evidence that the inclusion of Bitcoin among the investment alternatives would cause a statistically significant positive displacement and an expansion of the efficient frontier of the Brazilian retail market. This would result in a significant increase in the return on the tangency portfolio. In addition to improving the indicators of optimization of the risk-return binomial, the cryptoasset would be included in many optimal portfolios in the 2013Q3-2018Q2 period.
Originality/value – The results obtained show that, as reported for more developed markets, Bitcoin has caused an expansion of the efficient frontier of the Brazilian retail market.
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