Effect of include crypto assets in the portfolio process on optimization results: BIST 30 example

The improve in science and technology in the 21st century have started a process that affects financial markets. One of the innovations that emerged in this process is crypto assets. These assets, especially Bitcoin, have entered daily life since 2008 and there has been a significant increase in transaction volumes in recent years. While crypto assets have high returns and high volatility, they are attractive to some investors, while others keep them away. In this study, the usability of crypto assets in portfolio diversification and its effects on portfolio performance in this direction were investigated. In the study in which the Fuzzy Linear Programming Model was used, the stocks in BIST 30 and the five crypto assets with the highest transaction volume as of the analysis period, Bitcoin, Ethereum, Ripple, Litecoin and Monero, were analyzed weekly between 04 September 2016 and 26 June 2022 data has been used. In the study; Two different portfolios were created. In the first portfolio optimization, only stocks in BIST 30 were used, and in the second, stocks in BIST 30 and crypto assets subject to analysis were used. As a result of the optimization, it has been determined that the return and risk of the optimal portfolio, which is obtained by using only the payment results in BIST 30, is lower than the return and risk of the optimal portfolio consisting of BIST 30 and crypto money management. Therefore, it has been concluded that crypto assets can be a good investment tool in terms of portfolio performance and diversification and have positive effects on portfolio performance. Keywords: BIST 30, Crypto Assets, Linear Programming Model, Fuzzy Logic, Portfolio Optimization.