Investigating the Role of Bitcoin in Portfolio Diversification Using MATLAB
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigating the Role of Bitcoin in Portfolio Diversification Using MATLAB

Document Type : Original Article

Authors
Hamid Jamshidi 1
Alimohammad Ghanbari 2
Amir Shahbazbegian 1
1 MSc, Department of Accounting & Finance, Petroleum Faculty of Tehran, Petroleum University of Technology, Tehran, Iran.
2 Assistant Prof., Department of Accounting & Finance, Petroleum Faculty of Tehran, Petroleum University of Technology, Tehran, Iran.
10.22034/jse.2021.11293.1491
Abstract
This research evaluates the impact of Bitcoin allocation on investment portfolios using both Mean-Variance and Conditional Value-at-Risk (CVaR) optimization frameworks. In this study, by imposing a no-short selling constraint, the role of Bitcoin within a diversified portfolio of the Iranian capital market is analyzed. To rigorously assess performance, the Sortino and Omega ratios are compared across two scenarios: with and without Bitcoin inclusion. Empirical findings indicate that Bitcoin allocation significantly enhances portfolio performance, as the benefits derived from improved risk-adjusted returns outweigh the risks associated with the increased volatility. The results corroborate the strategic position of Bitcoin as an effective tool for the portfolio diversification. This study provides practical insights for the investors who are seeking to optimize their risk-return profile in emerging markets, demonstrating that despite its inherent volatility, Bitcoin serves as a robust asset class for enhancing overall portfolio efficiency and achieving superior performance under constrained market conditions.
Keywords
Bitcoin
Portfolio Diversification
Cryptocurrencies
Subjects
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Quarterly Journal of Securities Exchange
Volume 19, Issue 75
Summer 2026
Pages 205-228