Article
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Building A Portfolio Under Uncertainty
Version 1
: Received: 14 August 2024 / Approved: 14 August 2024 / Online: 14 August 2024 (11:16:11 CEST)
How to cite: Nia, V. M.; Siregar, H.; Sembel, R.; Zulbainarni, N. Building A Portfolio Under Uncertainty. Preprints 2024, 2024081051. https://doi.org/10.20944/preprints202408.1051.v1 Nia, V. M.; Siregar, H.; Sembel, R.; Zulbainarni, N. Building A Portfolio Under Uncertainty. Preprints 2024, 2024081051. https://doi.org/10.20944/preprints202408.1051.v1
Abstract
The relationship between the returns and volatility of stocks, gold, bonds, and Bitcoin (BTC) to changes in inflation, interest rates (SBI), and exchange rates is a compelling topic, encompassing factors such as inter-asset interactions, and the roles of assets as hedge or safe-haven. We aims the inter-assetscorrelation using Granger Causality Test and the role of hedge or safe-haven assets against uncertainty using GARCH for normal condition and quantile regression in crisis. Last, we built an optimal portfolio using the Arbitrage Pricing Model (APT) consists of 28% stocks, 16% gold, 27% bonds, and 29% BTC, with returns 1.7796% over the Rf. Monthly trading records from 2018 until 2023 are used. The results demonstrate a correlation between the returns of gold and bonds with BTC, while stock volatility is found to correlate with BTC volatility. Furthermore we found a negative correlation between gold returns and exchange rates, though gold shows no correlation with other variables, indicating its effectiveness as a hedge in normal conditions. The bond serve primarily as a diversifier against exchange rate and inflation in normal, bearish, and bullish market conditions. These findings suggest that gold and bonds are more stable instruments and serve as risk mitigation strategy for BTC.
Keywords
Optimal Portfolio; Safe-Haven Asset; Hedge Asset; Arbitrage Pricing Theory; Bitcoin; Gold; Indonesia Stock Market; Bond; Inflation; Exchange Rate
Subject
Business, Economics and Management, Finance
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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