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The Nonsense of Bitcoin in Portfolio Analysis

Author

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  • Haim Shalit

    (Department of Economics, Ben-Gurion University of the Negev, Beer-Sheva 84105, Israel)

Abstract

The paper demonstrates the nonsense of using Bitcoin in financial investments. By using mean-variance financial analysis, stochastic dominance, CVaR, and the Shapley value theory as analytical statistical models, I show how Bitcoin performs poorly by comparing it against other traded assets. The conclusion is reached by analyzing daily freely available market data for the period 2018–2023.

Suggested Citation

  • Haim Shalit, 2025. "The Nonsense of Bitcoin in Portfolio Analysis," JRFM, MDPI, vol. 18(3), pages 1-14, February.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:125-:d:1602154
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    References listed on IDEAS

    as
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    5. Akhtaruzzaman, Md & Sensoy, Ahmet & Corbet, Shaen, 2020. "The influence of Bitcoin on portfolio diversification and design," Finance Research Letters, Elsevier, vol. 37(C).
    6. Sean Foley & Jonathan R Karlsen & Tālis J Putniņš, 2019. "Sex, Drugs, and Bitcoin: How Much Illegal Activity Is Financed through Cryptocurrencies?," The Review of Financial Studies, Society for Financial Studies, vol. 32(5), pages 1798-1853.
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