The role of bitcoin in well diversified portfolios: A comparative global study

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dc.contributor.authorKajtazi, Anton
dc.contributor.authorMoro, Andrea
dc.date.accessioned2018-11-15T15:15:17Z
dc.date.available2018-11-15T15:15:17Z
dc.date.issued2018-10-11
dc.description.abstractThis 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.en_UK
dc.identifier.citationAnton 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. 143-157en_UK
dc.identifier.cris22043017
dc.identifier.issn1057-5219
dc.identifier.urihttps://doi.org/10.1016/j.irfa.2018.10.003
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/13643
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectBitcoinen_UK
dc.subjectCryptocurrenciesen_UK
dc.subjectPortfolio diversificationen_UK
dc.subjectPortfolio strategiesen_UK
dc.titleThe role of bitcoin in well diversified portfolios: A comparative global studyen_UK
dc.typeArticleen_UK

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