Dynamic portfolio formulation using bitcoin and LQ45 stocks

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform composed solely stocks, especially during the Covid-19 pandemic. Accordingly, we use time-series data eight from January 1, 2020, December 31, 2020. We then run DCC-GARCH method analyze better correlation between assets abnormalities stock return distributions. The findings demonstrate that is negatively correlated with hence, it can be used hedge against assets. Further, measure portfolio performance bitcoin-hedged unhedged using Jensen Index, Treynor Sharpe Sortino Ratio, Omega Ratio. These measures consistently indicate stocks. In sum, our study concludes incorporating into formation improves performance.