Abstract
This study analyzes the role of Bitcoin as an investment asset in a global multi-asset portfolio. For portfolio construction, we use a risk-based portfolio strategy that excludes estimates of future expected returns. We derive the optimal asset allocation ratio of Bitcoin included in the global multi-asset portfolio and compare the performance with the general portfolio. We find that the average investment weight of Bitcoin in the portfolio is 1.8%, and the portfolio containing Bitcoin shows superior investment performance compared to the portfolio without Bitcoin.
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