Aggarwal, Vaibhav, Sharma, Sudhi, Bhatia, Parul, Yadav, Mahender and Sharma, Shashank (2025) Optimum Portfolio Weights and Hedge Ratios between Conventional and Non Conventional Assets. In: 2025 9th International Conference on Information Technology (InCIT), 12-14 November 2025, Phuket, Thailand.
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There is growing interest in cryptocurrency as an asset class for investors in the emerging market of India. This study aims to identify the optimal portfolio weights and hedge ratio for long-only investors and long-short investor, in emerging Indian stocks and Bitcoin. We have used the BEKK-GARCH (1, 1) to investigate the volatility spillover. The daily closing price data for Sensex and Bitcoin has been taken for the period January 2020 to October 2024. The findings indicate the potential benefit of adding small proportion of bitcoin to a portfolio alongside stocks for investors in India. The results can help investors make better risk adjusted portfolio.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Keywords: | Economics | Technological innovation | Uncertainty | Law |
| Subjects: | Social Sciences and humanities > Decision Sciences > General Decision Sciences Social Sciences and humanities > Decision Sciences > Information Systems and Management Physical, Life and Health Sciences > Mathematics |
| JGU School/Centre: | Jindal Global Business School |
| Depositing User: | Mr. Gautam Kumar |
| Date Deposited: | 17 Dec 2025 10:28 |
| Last Modified: | 17 Dec 2025 10:28 |
| Official URL: | https://doi.org/10.1109/InCIT66780.2025.11276035 |
| URI: | https://pure.jgu.edu.in/id/eprint/10506 |
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