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...

This research explores the effects of adding bitcoin to an optimal portfolio (naïve, long-only, unconstrained and semi-constrained) by relying on a 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...

This research explores the effects of adding bitcoin to an optimal portfolio (naïve, long-only, unconstrained and semi-constrained) by relying on mean-CVaR in the Chinese market. Then backtesting to compare the performance of portfolios with and without bitcoin for each scenario is perfomed....