Cryptocurrencies and Market Indices: A Markowitz Portfolio Optimization Problem
This thesis will explore the role of cryptocurrencies in a market index portfolio. The portfolios of a mix of Bitcoin, Ether and the market indices S&P 500, OMXS30 and VTI will be examined and optimized to maximize the Sharpe ratio. This process is done using the Markowitz Portfolio Theory for portfolios containing one market index and either one or both cryptocurrencies, numerically optimizin
