Matches in SemOpenAlex for { <https://semopenalex.org/work/W2968978462> ?p ?o ?g. }
- W2968978462 endingPage "101087" @default.
- W2968978462 startingPage "101087" @default.
- W2968978462 abstract "Abstract We examine diversification capabilities of Bitcoin for a global portfolio spread across six asset classes from the standpoint of investors dealing in five major fiat currencies namely US Dollar, Great Britain Pound, Euro, Japanese Yen and Chinese Yuan. Considering the period of prolonged decline in Bitcoin’s value throughout 2018, we employ modified conditional value-at-risk and standard deviation as measures of risk to perform portfolio optimisations across three asset allocation strategies. Results show that portfolios denominated in Japanese Yen, Chinese Yuan and US Dollar account for greater proportion of optimal investment in Bitcoin and exhibit higher improvement in risk-adjusted returns due to investment in Bitcoin. We also perform a comprehensive risk-adjusted evaluation of portfolios with and without Bitcoin to reinforce striking variation in degree of diversification benefits of Bitcoin in a cross-currency context. Taken together, our findings provide insights into sharp disparity in Bitcoin trading volumes across national currencies from a portfolio theory perspective." @default.
- W2968978462 created "2019-08-22" @default.
- W2968978462 creator A5021970735 @default.
- W2968978462 creator A5087197784 @default.
- W2968978462 date "2020-01-01" @default.
- W2968978462 modified "2023-09-26" @default.
- W2968978462 title "On the investment credentials of Bitcoin: A cross-currency perspective" @default.
- W2968978462 cites W1522442271 @default.
- W2968978462 cites W1557053574 @default.
- W2968978462 cites W1583310479 @default.
- W2968978462 cites W1647779468 @default.
- W2968978462 cites W1798106456 @default.
- W2968978462 cites W1918758220 @default.
- W2968978462 cites W1981134187 @default.
- W2968978462 cites W1982899954 @default.
- W2968978462 cites W1986030799 @default.
- W2968978462 cites W1988008345 @default.
- W2968978462 cites W2002736235 @default.
- W2968978462 cites W2012615794 @default.
- W2968978462 cites W2013312564 @default.
- W2968978462 cites W2015567894 @default.
- W2968978462 cites W2016980223 @default.
- W2968978462 cites W2019291268 @default.
- W2968978462 cites W2019796175 @default.
- W2968978462 cites W2034019416 @default.
- W2968978462 cites W2041854950 @default.
- W2968978462 cites W2042442456 @default.
- W2968978462 cites W2057445524 @default.
- W2968978462 cites W2064549758 @default.
- W2968978462 cites W2069099760 @default.
- W2968978462 cites W2069650318 @default.
- W2968978462 cites W2073524791 @default.
- W2968978462 cites W2076280637 @default.
- W2968978462 cites W2079615115 @default.
- W2968978462 cites W2081488363 @default.
- W2968978462 cites W2085151658 @default.
- W2968978462 cites W2086311721 @default.
- W2968978462 cites W2091583718 @default.
- W2968978462 cites W2096603854 @default.
- W2968978462 cites W2098996963 @default.
- W2968978462 cites W2100011707 @default.
- W2968978462 cites W2114527257 @default.
- W2968978462 cites W2118856090 @default.
- W2968978462 cites W2131868098 @default.
- W2968978462 cites W2132527237 @default.
- W2968978462 cites W2132640775 @default.
- W2968978462 cites W2138490239 @default.
- W2968978462 cites W2140917889 @default.
- W2968978462 cites W2145501956 @default.
- W2968978462 cites W2150264595 @default.
- W2968978462 cites W2153580489 @default.
- W2968978462 cites W2154486463 @default.
- W2968978462 cites W2154756406 @default.
- W2968978462 cites W2162338668 @default.
- W2968978462 cites W2162656107 @default.
- W2968978462 cites W2163969674 @default.
- W2968978462 cites W2164883547 @default.
- W2968978462 cites W2165408259 @default.
- W2968978462 cites W2232050559 @default.
- W2968978462 cites W2305420559 @default.
- W2968978462 cites W2482896810 @default.
- W2968978462 cites W2523675164 @default.
- W2968978462 cites W2526568049 @default.
- W2968978462 cites W2539680302 @default.
- W2968978462 cites W2591824560 @default.
- W2968978462 cites W2611687186 @default.
- W2968978462 cites W2622082560 @default.
- W2968978462 cites W2735430654 @default.
- W2968978462 cites W2736872974 @default.
- W2968978462 cites W2740288336 @default.
- W2968978462 cites W2753174893 @default.
- W2968978462 cites W2758991599 @default.
- W2968978462 cites W276006551 @default.
- W2968978462 cites W2765909833 @default.
- W2968978462 cites W2770945174 @default.
- W2968978462 cites W2771030840 @default.
- W2968978462 cites W2771495637 @default.
- W2968978462 cites W2783933003 @default.
- W2968978462 cites W2785114503 @default.
- W2968978462 cites W2786901113 @default.
- W2968978462 cites W2788840116 @default.
- W2968978462 cites W2789502534 @default.
- W2968978462 cites W2792665223 @default.
- W2968978462 cites W2792973870 @default.
- W2968978462 cites W2793906868 @default.
- W2968978462 cites W2795679926 @default.
- W2968978462 cites W2797713121 @default.
- W2968978462 cites W2799345028 @default.
- W2968978462 cites W2799918576 @default.
- W2968978462 cites W2801665420 @default.
- W2968978462 cites W2803247515 @default.
- W2968978462 cites W2803836845 @default.
- W2968978462 cites W2809250076 @default.
- W2968978462 cites W2810023569 @default.
- W2968978462 cites W2810297868 @default.
- W2968978462 cites W2883043781 @default.
- W2968978462 cites W2883122319 @default.
- W2968978462 cites W2884875812 @default.