The role of bitcoin in well diversified portfolios: A comparative global study
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Platanakis and Urquhart (2019) as well as Kajtazi and Moro (2019) show that the inclusion of Bitcoin can substantially improve the risk-adjusted returns of a stock-bond portfolio.
“where Platanakis and Urquhart (2019) as well as Kajtazi and Moro (2019) show that the inclusion of Bitcoin can substantially improve the risk-adjusted returns of a stock-bond portfolio.”
From Technical trading and cryptocurrencies (2021) · cites this paper as Kajtazi and Moro 2019
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Can Bitcoin Glitter More Than Gold for Investment Styles?
Naeem, M. A., Hasan, M., Arif, M., & Shahzad, S. J. H. (2020) · SAGE Open · doi:10.1177/2158244020926508 · Cited by 42 · see citing works
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Ahmed, W. M. A. (2021) · Pacific-Basin Finance Journal · doi:10.1016/j.pacfin.2021.101667 · Cited by 39 · see citing works
Bitcoin intraday time series momentum
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Ibrahim, B. A., Elamer, A. A., Alaskar, T. H., Mohamed, M. A., & Abdou, H. A. (2024) · Financial Innovation · doi:10.1186/s40854-023-00605-z · Cited by 38 · see citing works
Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets
Silahli, B., Dingeç, K. D., Atilla Cifter, A., & Aydın, N. (2019) · Finance research letters · doi:10.1016/j.frl.2019.101425 · Cited by 38 · see citing works
The dynamics of returns predictability in cryptocurrency markets
Bianchi, D., Guidolin, M., & Pedio, M. (2022) · European Journal of Finance · doi:10.1080/1351847x.2022.2084343 · Cited by 37 · see citing works
Angelini, E., Birindelli, G., Chiappini, H., & Foglia, M. (2022) · Journal of Sustainable Finance & Investment · doi:10.1080/20430795.2022.2105788 · Cited by 37 · see citing works
Lottery-like preferences and the MAX effect in the cryptocurrency market
Ozdamar, M., Akdeniz, L., & Şensoy, A. (2021) · Financial Innovation · doi:10.1186/s40854-021-00291-9 · Cited by 37 · see citing works
Susilo, D., Wahyudi, S., Pangestuti, I. R. D., Nugroho, B. A., & Robiyanto, R. (2020) · SAGE Open · doi:10.1177/2158244020971609 · Cited by 36 · see citing works
Umar, Z., Usman, M., Choi, S., & Rice, J. (2023) · Research in International Business and Finance · doi:10.1016/j.ribaf.2023.101957 · Cited by 36 · see citing works
Aliu, F., Nuhiu, A., Krasniqi, B. A., & Jusufi, G. (2020) · Studies in Economics and Finance · doi:10.1108/sef-07-2020-0282 · Cited by 35 · see citing works
Manahov, V., & Urquhart, A. (2020) · International Review of Financial Analysis · doi:10.1016/j.irfa.2020.101629 · Cited by 35 · see citing works
Kakinuma, Y. (2021) · Journal of Asia Business Studies · doi:10.1108/jabs-02-2021-0050 · Cited by 34 · see citing works
Asymmetric effect and dynamic relationships over the cryptocurrencies market
Moussa, W., Basty, N., & Ghazouani, I. (2020) · Computers & Security · doi:10.1016/j.cose.2020.101860 · Cited by 34 · see citing works
Cryptocurrency Portfolio Selection—A Multicriteria Approach
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On the role of stablecoins in cryptoasset pricing dynamics
Krištoufek, L. (2022) · Financial Innovation · doi:10.1186/s40854-022-00343-8 · Cited by 34 · see citing works
Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies
Luo, D., Mishra, T., Yarovaya, L., & Zhang, Z. (2021) · Journal of International Financial Markets Institutions and Money · doi:10.1016/j.intfin.2021.101362 · Cited by 33 · see citing works
Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both
Wen, Z., Bouri, E. I., Xu, Y., & Zhao, Y. (2022) · The North American Journal of Economics and Finance · doi:10.1016/j.najef.2022.101733 · Cited by 33 · see citing works
Monetary policy shocks and Bitcoin prices
Ma, C., Tian, Y., Hsiao, S., & Deng, L. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101711 · Cited by 34 · see citing works
A bibliometric review of portfolio diversification literature
Migliavacca, M., Goodell, J. W., & Paltrinieri, A. (2023) · International Review of Financial Analysis · doi:10.1016/j.irfa.2023.102836 · Cited by 33 · see citing works
Chu, J., Chan, S., & Zhang, Y. (2021) · Physica A Statistical Mechanics and its Applications · doi:10.1016/j.physa.2021.126161 · Cited by 32 · see citing works
Nonlinear dependence and spillovers between cryptocurrency and global/regional equity markets
Hanif, W., Hernández, J. A., Troster, V., Kang, S. H., & Yoon, S. (2022) · Pacific-Basin Finance Journal · doi:10.1016/j.pacfin.2022.101822 · Cited by 31 · see citing works
Hsu, S. (2022) · Journal of risk and financial management · doi:10.3390/jrfm15090372 · Cited by 31 · see citing works
Can altcoins act as hedges or safe-havens for Bitcoin?
Li, Y., Lucey, B. M., & Urquhart, A. (2022) · Finance research letters · doi:10.1016/j.frl.2022.103360 · Cited by 31 · see citing works
Multi-source data driven cryptocurrency price movement prediction and portfolio optimization
Zhou, Z., Song, Z., Xiao, H., & Ren, T. (2023) · Expert Systems with Applications · doi:10.1016/j.eswa.2023.119600 · Cited by 31 · see citing works
Patel, R. J., Gubareva, M., Chishti, M. Z., & Теплова, Т. В. (2024) · International Review of Financial Analysis · doi:10.1016/j.irfa.2024.103181 · Cited by 33 · see citing works
Charfeddine, L., Benlagha, N., & Khediri, K. B. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101699 · Cited by 30 · see citing works
Cryptocurrency Trading: A Comprehensive SurveyPreprint
Fang, F., Ventre, C., Basios, M., Kanthan, L., Li, L., Martínez‐Rego, D., & Wu, F. (2020) · RePEc: Research Papers in Economics · doi:10.48550/arxiv.2003.11352 · Cited by 30 · see citing works
Hedging Bitcoin with conventional assets
Nekhili, R., & Sultan, J. (2021) · Borsa Istanbul Review · doi:10.1016/j.bir.2021.09.003 · Cited by 29 · see citing works
Иванинский, И. О., & Ivashkovskaya, I. V. (2022) · Eurasian economic review : · doi:10.1007/s40821-022-00209-0 · Cited by 29 · see citing works
Khaki, A., Prasad, M., Al-Mohamad, S., Bakry, W., & Vo, X. V. (2023) · Research In International Business and Finance · doi:10.1016/j.ribaf.2022.101823 · Cited by 28 · see citing works
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Does digitalization mitigate or intensify the principal-agent conflict in a firm?
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Crafting performance-based cryptocurrency mining strategies using a hybrid analytics approach
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Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes
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Predictability of bitcoin returns
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Financial technology research: Past and future trajectories
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Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market
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Bitcoin as a financial asset: a survey
Kang, D., Ryu, D., & Webb, R. I. (2025) · Financial Innovation · doi:10.1186/s40854-025-00773-0 · Cited by 24 · see citing works
Portfolio selection: should investors include crypto‐assets? A multiobjective approach
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Uncertainty and Risk in the Cryptocurrency Market
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Influence difference main path analysis: Evidence from DNA and blockchain domain citation networks
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Are gold, USD, and Bitcoin hedge or safe haven against stock? The implication for risk management
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On the topology of cryptocurrency markets
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Hsu, S., Cheng, P., & Yang, Y. (2024) · International Review of Financial Analysis · doi:10.1016/j.irfa.2024.103211 · Cited by 20 · see citing works
Higher co-moments and adjusted Sharpe ratios for cryptocurrencies
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The impact of COVID-19 on the portfolio optimization
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Diversification in financial and crypto markets
Osman, M. B., Galariotis, E., Guesmi, K., Hamdi, H., & Naoui, K. (2023) · International Review of Financial Analysis · doi:10.1016/j.irfa.2023.102785 · Cited by 19 · see citing works
- Authors
- Kajtazi, A., & Moro, A.
- Affiliations
- Cranfield University (GB)
- Corresponding author
- Moro, Andrea
- Venue
- International Review of Financial Analysis
- Publisher
- Elsevier BV
- Published
- 2019-01
- Volume
- 61
- Pages
- 143-157
- ISSN
- 1057-5219 (ISSN-L)
- OpenAlex
- W2896197579
- Cited by
- 271
- References
- 69
- Citations by year
- 2026: 25 · 2025: 30 · 2024: 33 · 2023: 38 · 2022: 40 · 2021: 50 · 2020: 32 · 2019: 20 · 2018: 3
- FWCI
- 20.93
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- International Review of Financial Analysis (publishedVersion)
- SSRN Electronic Journal (publishedVersion)
- CERES (Cranfield University) (submittedVersion, cc-by-nc-nd)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Risk and Portfolio Optimization
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Keywords
- Bitcoin, portfolio diversification, mean-CVaR, portfolio optimization, portfolio performance, volatility, speculative assets, backtesting
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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