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The role of bitcoin in well diversified portfolios: A comparative global study
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“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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Metadata
- 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
- 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.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
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