The Nonsense of Bitcoin in Portfolio Analysis

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

JRFM, 2025, vol. 18, issue 3, 1-14

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.

Keywords: Mean-variance portfolios; stochastic dominance; CVaR; Shapley value (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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