Cryptoactifs et portefeuille optimal

Sébastien Galanti

Revue française d'économie, 2023, vol. Vol XXXVIII, issue 4, 47-63

Abstract: This article applies standard financial theory to the choice of whether or not to integrate cryptoassets into a portfolio of financial assets. We are interested in the optimal asset selection within a portfolio composed of three indices: equities, bonds and cryptoassets. The merit of the standard theory is to show that assets dominated in terms of risk-return ratio can still integrate an optimal portfolio because of their low covariance with other securities. We find that efficient portfolios, over the period 2015-2023, should integrate more cryptoassets than they actually do. For example, an efficient portfolio with 12.7% profitability should contain 22.5% equities, 60.9% bonds, and 16.9% cryptos. By comparison, the assets actually held correspond to a portfolio of 47.6% equities, 51.7% bonds, and 0.6% cryptos. For an equivalent level of risk, a portfolio composed of 85% risk-free assets (Livret A), 12% cryptoassets and 3% of equity would yield a three times higher return. The theory therefore fails to account for reality. One limitation of this exercise is that the regulation of stocks and bonds is very different and much more secure for the investor. Consequently, we explain the reasons why such theoretical results should, perhaps paradoxically, motivate a strict regulation of cryptoassets.

Date: 2023
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