The optimal long-term portfolio share of bitcoin is negative (or zero)

Applying the standard Markovitz mean-variance framework to a two asset portfolio consisting of US stocks (S&P500) and Bitcoin (BTC), challenges the notion that BTC offers diversification benefits for long-term investors. With risk (variance and covariance) estimated using data from 02/14 to 02/2...

Full description

Saved in:
Bibliographic Details
Main Author: Alistair Milne
Format: Default Preprint
Published: 2025
Subjects:
Bitcoin
Digital assets
Cryptocurrencies
Portfolio optimization
Speculation
JEL G11
JEL L83
Online Access:https://hdl.handle.net/2134/30436873.v2
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items