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p-Index From 2020 - 2025
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All Journal International Journal Business, Management and Innovation Review
Rifan Fauzi Salasi
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Decision Sciences, Operations Research & Management Social Sciences

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Comparison of Markowitz Model and Sharpe Model to Cryptocurrency Investment Measurement Rifan Fauzi Salasi; , Herry Subagyo; Ana Kadarningsih; Suhita Whini Setyahuni
International Journal Business, Management and Innovation Review Vol. 2 No. 2 (2025): : International Journal Business, Management and Innovation Review
Publisher : Universitas Veteran Bangun Nusantara Sukoharjo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62951/ijbmir.v2i2.149

Abstract

Analyzes focuses om the differences between Markowitz and Sharpe models in optimizing cryptocurrency investment portfolios. Data consists of monthly prices from ten major cryptocurrencies collected between January 2022 and December 2024. Markowitz and Sharpe models construct optimal portfolios, which are then evaluated using Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha to measure portfolio performance based on risk and return. Sharpe Portfolio has a higher Sharpe Ratio than Markowitz Portfolio because expected return is higher even though standard deviation is also higher. In Treynor Ratio, both portfolios have similar values because beta is the same, making expected return the key factor in the difference. In Jensen’s Alpha, both portfolios generate returns above market expectations after adjusting for risk, with Sharpe Portfolio achieving a higher value than Markowitz Portfolio. Different portfolio optimization methods result in different risk and return characteristics. Investors can choose a portfolio based on risk preferences. If return-to-total-risk ratio is the main priority, Sharpe Portfolio can be selected due to a higher Sharpe Ratio. However, if risk stability and diversification are more important, Markowitz Portfolio can be an alternative, as it focuses on minimizing risk through a balanced asset combination.
Co-Authors , Herry Subagyo Ana Kadarningsih Suhita Whini Setyahuni