Master Thesis Online
Bitcoin hedge capacity for high risk portfolio.
Leclère, Nicolas 
Promotor(s) :
Pietquin, John
Date of defense : 4-Oct-2021 • Permalink : http://hdl.handle.net/2268.2/13685
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[LECLERE]TFE_HEC.pdfDetails
| Title : | Bitcoin hedge capacity for high risk portfolio. |
| Translated title : | [fr] Capacité de couverture du Bitcoin pour les portefeuille à risque |
| Author : | Leclère, Nicolas
|
| Date of defense : | 4-Oct-2021 |
| Advisor(s) : | Pietquin, John
|
| Committee's member(s) : | Artige, Lionel
Thonus, Célina
|
| Language : | English |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en management général (Horaire décalé) |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This master's thesis proposes an analysis of the hedge capacities of Bitcoin in the particular case of high risk portfolio. The impact of Bitcoin on the portfolio optimisation and efficient frontier is also studied.
The statistical models GARCH, eGARCH, GJR-GARCH and DCC-GARCH are build in order to compute the correlation between Bitcoin and the portfolio using the software \textit{Matlab}. Univariate models are compared and provide volatility of assets, while a multivariate model is built to assert the hedge capacity of Bitcoin.
Montecarlo simulations are performed for the volatility of Bitcoin and correlation are established between the portfolio and Bitcoin. Portfolio are built, efficient frontiers drawn and optimal portfolio studied using the Sharpe ratio.
Final results suggests that Bitcoin can have hedge capacities over a portfolio composed of risky assets depending on the time period considered. At least it is of great interest in the construction of portfolio. The efficient frontier is displaced upward, meaning higher returns, when Bitcoin are considered in the portfolio.
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