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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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    3. Gur Huberman & Jacob D Leshno & Ciamac Moallemi, 2021. "Monopoly without a Monopolist: An Economic Analysis of the Bitcoin Payment System [Blockchain Economics]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3011-3040.
    4. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
    5. Akhtaruzzaman, Md & Sensoy, Ahmet & Corbet, Shaen, 2020. "The influence of Bitcoin on portfolio diversification and design," Finance Research Letters, Elsevier, vol. 37(C).
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