Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?

By Alexander Eisl, Stephan M. Gasser, Karl Weinmayer. 2015

138 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b6391055e346cc166358d1fc4848442b96b9c973

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Citations in the corpus

Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven? (2017, unknown): “Others have examined the benefits of including Bitcoin in an equity portfolio (Halaburda and Gandal 2014; Eisl, Gasser, and Weinmayer 2015).”
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2016, background): “The first is research on the diversification and hedging benefits of Bitcoin against equities (Halaburda and Gandal, 2014; Eisl et al., 2015; Bouri, Azzi et al., 2016; Bouri, Molnár et al., 2016; Dyhrberg, 2016) and against currencies or commodities (Bouri, Azzi et al., 2016; Bouri, Molnár et al.,…”
Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks (2018, background): “While others highlight the diversification benefits of adding Bitcoin to an equity portfolio (Eisl et al., 2015).”
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2017, unknown): “Although Bitcoin is highly volatile (Molnár et al., 2015), its inclusion into a diversified portfolio is highly profitable (see, among others, Halaburda and Gandal, 2014; Eisl et al., 2015).”
On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017, background): “Eisl et al. (2015) concentrate on the benefits of adding Bitcoin to an equity portfolio.”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, methodology): “Eisl et al (2015) implement a CVaR approach and show that Bitcoin should be included in optimal portfolios as its inclusion leads to better risk-return ratios while Wu and Pandey (2014) show that Bitcoin may not be useful as a currency but can play an important role in enhancing the efficiency of…”