Diversifikacija portfolija u tranzicijskim ekonomijama uvođenjem kriptovaluta
Portfolio diversification in transition economies by introducing cryptocurrencies

Summary/Abstract: The goal of the research is to determine the possibility of introducing high-risk forms of assets into a portfolio formed in transition markets. The paper deals with the empirical testing of the applicability of modern portfolio theory by including Bitcoin as a representative cryptocurrency in a portfolio modeled after the SASX-10 stock index used on the Sarajevo Stock Exchange. The research provides an answer to the question: Can modern portfolio theory be applied to stock markets in transition countries if we include a highly volatile form of assets in the portfolio? During the analysis, the average annual returns in the period 2013-2024 from investments based on the stock market index, returns from investments in Bitcoin, as well as the average standard deviations of the mentioned forms of assets as a measure of risk indicators, were calculated. By simulating the change in the ratio of invested funds, an analytical comparative overview of expected returns and expected standard deviation was formed, as well as a graphic representation, which proved the possibility of applying modern portfolio theory on geographically smaller and undeveloped markets in transition, which includes Bosnia and Herzegovina. However, given the high volatility of Bitcoin, stakes must be of a more modest scale in order not to impair the riskiness of the overall portfolio.

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