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Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? · Study

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PreprintCaveat Emptor: Does Bitcoin Improve Portfolio Diversification?

Alexander Eisl2014

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Preprintgreen2014

Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?

Alexander Eisl · Stephan M. Gasser · Karl Weinmayer

135 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2011Quantitative Risk Management 2015Virtual currency, tangible return: Portfolio diversification with bitcoin 2012Quantitative Risk Management 1996Risk 2 : Measuring the Risk in Value at Risk

Cited by

2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold 2019Can Bitcoin be a diversifier, hedge or safe haven tool?2021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies 2019Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*2019High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets 2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities

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Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations135

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2408997

openalex_workW2232050559

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2018Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?

2017The Effect of Cryptocurrency on Investment Portfolio Effectiveness