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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
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