The Nonsense of Bitcoin in Portfolio Analysis

Haim Shalit

doi:10.3390/jrfm18030125

The Nonsense of Bitcoin in Portfolio Analysis

Haim Shalit

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.

Original language	English
Article number	125
Journal	Journal of Risk and Financial Management
Volume	18
Issue number	3
DOIs	https://doi.org/10.3390/jrfm18030125
State	Published - 1 Mar 2025

Keywords

CVaR
Mean-variance portfolios
Shapley value
stochastic dominance

ASJC Scopus subject areas

Accounting
Business, Management and Accounting (miscellaneous)
Finance
Economics and Econometrics

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10.3390/jrfm18030125

Cite this

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title = "The Nonsense of Bitcoin in Portfolio Analysis",

abstract = "The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.",

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AB - The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.

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KW - Shapley value

KW - stochastic dominance

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DO - 10.3390/jrfm18030125

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The Nonsense of Bitcoin in Portfolio Analysis

Abstract

Keywords

ASJC Scopus subject areas

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