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首页> 外文期刊>Journal of Mathematical Finance >The Investors’ Behavior towards the Relationship between Bitcoin, Litcoin, Dash Coins, and Gold: A Portfolio Modeling Approach
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The Investors’ Behavior towards the Relationship between Bitcoin, Litcoin, Dash Coins, and Gold: A Portfolio Modeling Approach

机译：投资者对比特币，利奇素，仪雨币和黄金关系的行为：一种投资组合建模方法

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This study considers a market-based economy that is composed of two asset classes: one is a digital, cryptocurrency, and the other is real, gold. We demonstrated that coins like (BTC, LTC, and DASH) can substitute a traditional safe haven “gold” in an intertemporal investment portfolio to become a new form of safe haven. The cryptocurrency follows a Jump-diffusion process. However, gold prices follow an Ornstein-Uhlenbek process to characterize the stochastic nature of the market. The stochastic optimal control approach, combined with the strategic asset allocation and the intertemporal utility theory, are used through the derivation of a Hamilton-Jacobi-Bellman (HJB) equation to determine an explicit solution of the optimal allocation problem for investors with CRRA utility function. We considered the Gamma Lévy process to solve the optimization problem. By using the secant method, we determined numerically the optimal percentage invested in the two asset classes at each time over the holding period. Our results showed that an investor can substitute gold by coins (BTC, LTC, DASH) from an investment portfolio perspective. Although Gold is supposed to be the traditional safe-haven asset, the digital currency seems to emerge as a new form of safe-haven value in a risky environment.
机译：本研究考虑了由两种资产类别组成的基于市场的经济：一个是数字，加密货币，另一个是真实的，金。我们证明了（BTC，LTC和DASH）等硬币可以在跨期投资组合中替代传统的安全避风港“黄金”，成为一种新的避风港的新形式。加密电机遵循跳跃扩散过程。然而，黄金价格遵循Ornstein-Uhlenbek流程来表征市场的随机性。随机最佳控制方法与战略资产配置和跨期实用理论结合使用，通过汉密尔顿 - 雅各 - 贝尔曼（HJB）方程的推导来确定具有CRRRA实用功能的投资者最佳分配问题的明确解决方案。我们考虑了伽马留声过程来解决优化问题。通过使用SECANT方法，我们在每次在持有期时确定在数量上投资的最佳百分比。我们的研究结果表明，投资者可以通过投资组合视角来通过硬币（BTC，LTC，DASH）代替金币。虽然黄金被认为是传统的避险资产，但数字货币似乎在风险环境中作为一种新的避险价值形式。

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