The role of bitcoin in well diversified portfolios: A comparative global study
Date published
2018-10-11
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Journal ISSN
Volume Title
Publisher
Elsevier
Department
Type
Article
ISSN
1057-5219
Format
Citation
Anton Kajtazi and Andrea Moro. The role of bitcoin in well diversified portfolios: A comparative global study. International Review of Financial Analysis, Volume 61, January 2019, pp. 143-157
Abstract
This research explores the effects of adding bitcoin to an optimal portfolio (naïve, long-only, semi-constrained with and without bitcoin shorting) by relying on the mean-CVaR approach. We explore bitcoin's role in portfolios of U.S., European and Chinese assets. We back-test to compare the performance of portfolios with and without bitcoin for each scenario. The results show that by adding bitcoin, the portfolio performance improves; but this is due more to the increase in returns than in the reduction of volatility. In addition, the improvement is linked to bitcoin's performance in 2013. We conclude that bitcoin may have a role in portfolio diversification even though our analysis confirms bitcoin speculative characteristics.
Description
Software Description
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Github
Keywords
Bitcoin, Cryptocurrencies, Portfolio diversification, Portfolio strategies
DOI
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Attribution-NonCommercial-NoDerivatives 4.0 International