Author(s)

Rongjie Diao, Zhiwen Wu, Yuke Bai

Corresponding Author

Rongjie Diao

ABSTRACT

With the continuous development of the social economy, investment has become one of the effective means for people to accumulate wealth. As an essential component of the financial market, the gold market continues to attract attention. At the same time, the new electronic currency "bitcoin" is also sought after by many investors due to its limited quantity, anonymous trading, and low transaction costs. Combining gold and bitcoin is an effective way to invest in a portfolio between the less risky gold and the more risky bitcoin and can achieve the desired returns by specifying a reasonable investment strategy. The purpose of this article is to develop an optimal portfolio investment strategy for gold and bitcoin and analyze the rationality and sensitivity of the strategy.

KEYWORDS

Grey forecasting model, turtle trading model, return, investment risk, sensitivity