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Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin
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TLDR
In this article, the authors analyzed a Bitcoin investment from the viewpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments (commodities, hedge funds, real estate).Abstract:
Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from the standpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments (commodities, hedge funds, real estate). Over the period under consideration, Bitcoin investment had highly distinctive features, including exceptionally high average return and volatility. Its correlation with other assets was remarkably low. Spanning tests confirm that Bitcoin investment offers significant diversification benefits. We show that the inclusion of even a small proportion of Bitcoins may dramatically improve the risk-return trade-off of well-diversified portfolios. Results should however be taken with caution as the data may reflect early-stage behavior which may not last in the medium or long run.read more
Citations
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151 Estrategias de Trading (151 Trading Strategies)
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Book
Bitcoin als alternative Anlagemöglichkeit - unter besonderer Berücksichtigung der Volatilität
TL;DR: In this paper, an analysis of Bitcoin als Kapitalanlage is carried out, in which the authors show that Bitcoin is a hohes Risikopotenzial verfugt and primar als spekulative Anlage.
Posted Content
Where is the information on USD/Bitcoins hourly price movements?
TL;DR: In this article, the authors analyzed the price discovery process in the USD/Bitcoin market since the Mt.Gox bankruptcy until the aftermath of the hack attack on Bitfinex (01-Mar 2014 until 30-Nov-2016).
Bitcoin and Stock Market Indexes Causality
Efe Akinci,Jing Li +1 more
TL;DR: In this article, the Granger Causality relations between Bitcoin and five stock market indexes which are Japan, Russia, South Korea, Sweden and United States were studied, and the time-period examined is from 2013 to 2013.
Dissertation
Should well-diversified portfolios contain cryptocurrencies? A quantitative analysis based on portfolio performance measures
TL;DR: In this paper, the authors present a Table of Contents (table of contents) for a table of contents of the paper this paper and present a discussion of the issues involved in this paper.
References
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Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Posted Content
Bitcoin: Economics, Technology, and Governance
TL;DR: In this paper, the authors present the design principles and properties of Bitcoin for a non-technical audience, reviews its past, present and future uses, and points out risks and regulatory issues as Bitcoin interacts with the conventional financial system and real economy.
Journal ArticleDOI
The inefficiency of Bitcoin
TL;DR: In this article, the authors study the market efficiency of Bitcoin and find that returns are significantly inefficient over the full sample, but when split into two subsample periods, some tests indicate that Bitcoin is efficient in the latter period.
Journal ArticleDOI
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
TL;DR: This paper used a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index.
Journal ArticleDOI
Common stocks as a hedge against inflation
TL;DR: In this article, the authors defined the effectiveness of common stocks as an inflation hedge as the proportional reduction in that variance attainable by combining a "representative" well-diversified portfolio of common stock and the nominal bond in their variance minimizing proportions.