전통자산 포트폴리오 대비 가상자산 포트폴리오의 투자 성과 연구

This study verified the investment performance of the crypto portfolio consisting of Bitcoin, Ethereum, Ripple, and Cardano compared to the investment performance of the traditional portfolio consisting of Kospi, Kosdaq, Bond, and Gold from January 2018 to December 2023, using methods such as Markowitz(1952) and Black and Litterman(1992). In detail, the investment performance of investors by investment propensity was verified by differentiating the Mean-Variance Optimization Model and the Black-Litterman Model's investor risk aversion λ weight. Additionally, the performance was verified under three different scenarios by dividing the analysis period. The main results of the study are as follows. First, the crypto portfolio shows extreme performance fluctuations depending on the analysis period. Second, in order to operate a crypto portfolio and make the best returns, aggressive investment propensity and high risk must be premised, and asset allocation through the Black-Litterman model is more appropriate. Unlike previous research methods, the academic significance of this study can be found in that various asset allocation models were classified according to investors' investment tendencies by dividing portfolios composed of traditional assets and portfolios composed of crypto, and the results of this study can help market participants establish management strategies, including determining when to operate their crypto portfolios.