The Benefits of Diversification Between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction

DOI10.1142/S0217595920400242MaRDI QIDQ5057286zbMATH OpenOpenAlexFDO

Authors Abdulnasser Hatemi-J, Elie Bouri, Rangan Gupta, M. A. Hajji

Publication date 16 December 2022

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0217595920400242

zbMATH Keywords

bitcoinbondequityportfolio diversificationrisk and returnUS dollar

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• Dynamic portfolio optimization across hidden market regimes
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Portfolio selection: an alternative approach

Cited in

(6)

• Portfolio management with cryptocurrencies: the role of estimation risk
• Optimal vs naïve diversification in cryptocurrencies
• Diversification benefits in the cryptocurrency market under mild explosivity
• Herding Behavior and Liquidity in the Cryptocurrency Market
• Gold in portfolio: a long-term or short-term diversifier?
• Does Bitcoin add value to global industry portfolios?

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