Cryptocurrencies as an Investment Instrument
| Thesis title: | Cryptocurrencies as an Investment Instrument |
|---|---|
| Author: | Vidmanov, Vasily |
| Thesis type: | Diploma thesis |
| Supervisor: | Sabolovič, Mojmír |
| Opponents: | Dvořák, Jiří |
| Thesis language: | English |
| Abstract: | This thesis aims to determine the underlying value of cryptocurrencies being a financial instrument providing an insight on how can investors orient on the crypto-currency market. This relatively young asset class has been gaining some attraction in the recent years not only from the retail investors but also from the institutional ones. Due to the uniqueness of the underlying technology of the cryptocurrencies – blockchain, it is important for an investor to understand the specifics of it in order to be successful. This work provides some insights on what external macroeconomic factors may influence the price for Bitcoin, as well as what mathematical function can describe the logarithmic price of Bitcoin. Lastly, taking into consideration Mod-ern Portfolio Theory and portfolio optimization techniques, a Monte Carlo simulation is run in Python in order to find the optimal risk-adjusted allocation for a port-folio of cryptocurrencies. |
| Keywords: | Investment; Bitcoin; Cryptocurrencies; Portfolio Theory; Monte Carlo Simulation |
| Thesis title: | Kryptoměny jako Investiční Instrument |
|---|---|
| Author: | Vidmanov, Vasily |
| Thesis type: | Diplomová práce |
| Supervisor: | Sabolovič, Mojmír |
| Opponents: | Dvořák, Jiří |
| Thesis language: | English |
| Abstract: | Tato práce si klade za cíl zjistit základní hodnotu kryptoměn, které jsou finančním nástrojem, který poskytuje pohled na to, jak se mohou investoři orientovat na trhu kryptoměn. Tato relativně mladá třída aktiv si v posledních letech získává přitažlivost nejen pro retailové investory, ale také pro institucionální. Vzhledem k jedinečnosti základní technologie kryptoměn - blockchainu, je důležité, aby investor pochopil jeho specifika, aby byl úspěšný. Tato práce poskytuje určité poznatky o tom, jaké externí makroekonomické faktory mohou ovlivnit cenu bitcoinu, a také to, jakou matematickou funkcí lze popsat logaritmickou cenu bitcoinu. Dle teorii moderního portfolia a technik optimalizace portfolia, je v Pythonu spuštěna simulace Monte Carlo za účelem nalezení optimální alokace podle rizika pro portfólio kryptoměn. |
| Keywords: | Investice; Bitcoin; Kryptoměny; Portfolio Theory; Monte Carlo Simulation |
Information about study
| Study programme: | Management |
|---|---|
| Type of study programme: | Magisterský studijní program |
| Assigned degree: | Ing. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Management |
| Department: | Department of Management |
Information on submission and defense
| Date of assignment: | 24. 2. 2020 |
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| Date of submission: | 24. 4. 2021 |
| Date of defense: | 11. 6. 2021 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/72760/podrobnosti |