Alfieri, Elise; Burlacu, Radu; Enjolras, Geoffroy - In: The Journal of Risk Finance 20 (2019) 2, pp. 114-137
Purpose: The purpose of this article is to provide some insights on the true nature of bitcoin and to study empirically its performance by using robust models, widely used in the academic literature. Previous studies assess performance with simple measures such as the Sharpe ratio. Such...