CEU eTD Collection (2025); Al Hamdan, Mahmoud: Decentralized Financial Markets: Assessing The Impact Of Cryptocurrency Inclusion On Portfolio Performance

CEU Electronic Theses and Dissertations, 2025
Author Al Hamdan, Mahmoud
Title Decentralized Financial Markets: Assessing The Impact Of Cryptocurrency Inclusion On Portfolio Performance
Summary This research constructs ten optimal portfolios, where one is comprised of only oil (USO), gold
(GLD), stock index (S&P500) and real estate index (VNQ). The remaining nine portfolios include all the abovementioned assets plus a cryptocurrency. A sample of the most traded cryptocurrencies examined in this study include Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), Solana (SOL),
Binance (BNB), Dogecoin (DOGE), Cardano (ADA), Tron (TRX), and Avalanche (AVAX). The
Sharpe ratio is used to assess the risk-adjusted performance before and after a cryptocurrency is added to the traditional portfolio. The aim is to find out which of the ten optimal portfolios produce the highest Sharpe ratio. In addition, the study also looks at risk exposure minimization to find out which of the ten optimal portfolios produce the lowest standard deviation. The latter approach is aimed at investors who only care about minimizing their portfolio’s risk exposure, whereas the former approach is aimed at investors who want to optimize the portfolio’s risk-adjusted returns.
Supervisor Lee, Tomy
Department Undergraduate Studies BA
Full texthttps://www.etd.ceu.edu/2025/al-hamdan_mahmoud.pdf

Visit the CEU Library.

© 2007-2025, Central European University