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Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?
9 references·16 citing·44 second hop
Caveat Emptor: Does Bitcoin Improve Portfolio Diversification? (2014)Caveat Emptor: Does Bitcoin Improve Portf…Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementOptimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimal portfolio selection in a Value-at-Risk framework (2001)Optimal portfolio selection i…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskRisk 2 : Measuring the Risk in Value at Risk (1996)Risk 2 : Measuring the Risk i…Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold (2021)Hedge and safe haven properti…Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach (2021)Bitcoin and Portfolio Diversi…Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying (2020)Studying the properties of th…Quantile spillovers and dependence between Bitcoin, equities and strategic commodities (2020)Quantile spillovers and depen…Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market (2020)Financial Bubbles: A Study of…Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application (2020)Do Islamic indices provide di…Bitcoin: The biggest financial innovation of fourth industrial revolution and a portfolio's efficiency booster (2020)Bitcoin: The biggest financia…Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach* (2019)Investing with Cryptocurrenci…High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets (2019)High-frequency asymmetric vol…Can Bitcoin be a diversifier, hedge or safe haven tool? (2019)Can Bitcoin be a diversifier,…Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets (2019)Bitcoin as Hedge or Safe Have…Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility (2018)Wavelet time-scale persistenc…Bitcoin as a new asset class (2018)Bitcoin as a new asset classAre There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes? (2018)Are There Any Volatility Spil…The Effect of Cryptocurrency on Investment Portfolio Effectiveness (2017)The Effect of Cryptocurrency …ARCH modeling in finance (1992)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Value at risk: the new benchmark for controlling market risk (1996)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Increased Correlation in Bear Markets (2002)Estimation risk in financial risk management (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)Conditional Skewness in Asset Pricing Tests (2000)A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (2005)Portfolio management with heuristic optimization (2005)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Long-Term Global Market Correlations (2001)Buying Beauty: On Prices and Returns in the Art Market (2012)Predicting the Price of Bitcoin Using Machine Learning (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Dynamic Conditional Correlation (2002)Are energy metals hedges or safe havens for clean energy stock returns? (2021)Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19 (2021)The Effects of Central Bank Digital Currencies News on Financial Markets (2022)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? 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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2011Quantitative Risk Management985 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2012Quantitative Risk Management374 cited
  • 1996Risk 2 : Measuring the Risk in Value at Risk349 cited
  • 2001Optimal portfolio selection in a Value-at-Risk framework315 cited

Cited by

  • 2021Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold202 cited
  • 2019Can Bitcoin be a diversifier, hedge or safe haven tool?147 cited
  • 2021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies118 cited
  • 2019Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach*112 cited
  • 2019High-frequency asymmetric volatility connectedness between Bitcoin and major precious metals markets105 cited
  • 2020Quantile spillovers and dependence between Bitcoin, equities and strategic commodities

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103 cited
  • 2018Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?98 cited
  • 2017The Effect of Cryptocurrency on Investment Portfolio Effectiveness81 cited
  • 2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying80 cited
  • 2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market77 cited
  • 2018Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility73 cited
  • 2020Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application71 cited
  • 2020Bitcoin: The biggest financial innovation of fourth industrial revolution and a portfolio's efficiency booster71 cited
  • 2019Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets68 cited
  • 2021Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach57 cited
  • 2018Bitcoin as a new asset class55 cited