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All Journal Priviet Social Sciences Journal
Putra, Raka Arjunaldi Pramana
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Economics, Econometrics & Finance Education Environmental Science Law, Crime, Criminology & Criminal Justice Social Sciences

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Portfolio optimization using cryptocurrency Putra, Raka Arjunaldi Pramana; Champaca, Mychelia
Priviet Social Sciences Journal Vol. 6 No. 1 (2026): January 2026
Publisher : Privietlab

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55942/pssj.v6i1.620

Abstract

This study aims to analyze the role of cryptocurrency investment in optimizing the performance of a portfolio comprising traditional assets, such as stocks, foreign exchange, and gold. This quantitative research employs the Markowitz Mean-Variance Optimization model and Sharpe ratio analysis. The data used consist of monthly closing prices from January 2019 to December 2024 for three cryptocurrencies (BTC, ETH, and XRP), three banking stocks (BBCA, BBRI, and BMRI), three foreign exchange pairs (USD/IDR, EUR/IDR, and GBP/IDR), and gold. A comparison was made between an optimal portfolio without a cryptocurrency and an optimal portfolio with a cryptocurrency. The results indicate that the inclusion of cryptocurrency significantly increased the portfolio's expected return from 14.07% to 32.08%. This increase was accompanied by a rise in risk (standard deviation) from 11.39% to 19.49%. However, portfolio efficiency improved dramatically, as evidenced by the Sharpe ratio surging from 70.89% to 133.83%. In both scenarios, gold consistently played a dominant role as a stabilizing asset in the portfolio. It is concluded that, during the study period, cryptocurrency served as a significant return enhancer and efficiency booster in the investment portfolio.
Co-Authors Mychelia Champaca