Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?

This thesis is set out to examine the risk-adjusted performance impact of including Bitcoin in a Swedish investor’s portfolio, how the allocation of a Swedish investor’s portfolio changes by the inclusion of Bitcoin, and if Bitcoin should be part of a Swedish investor’s portfolio under pessimistic views. To examine these questions, we use the Sharpe ratio, Sortino ratio, Omega ratio and the Black-Litterman model. When maximizing the Sharpe ratio, Sortino ratio and Omega ratio, Bitcoin is included in the portfolio. However, Bitcoin is not part of the new portfolio suggested by the Black-Litterman model for 50 % and 35 % expected downfall, but a part of the portfolio for 10 % expected downfall