The Nonsense of Bitcoin in Portfolio Analysis
The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.
Authors
- Haim Shalit (ORCID: https://orcid.org/0000-0003-4359-4614)
Institutions
- Ben-Gurion University of the Negev (IL)
Publication Details
- Journal
- Journal of risk and financial management
- Published
- 2025-02-28
- DOI
- https://doi.org/10.3390/jrfm18030125
- Primary Topic
- Blockchain Technology Applications and Security
- Type
- article
- Field-Weighted Citation Impact
- 0.00