참고문헌 (35)

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2. Markowitz, Harry. PORTFOLIO SELECTION*. The Journal of finance, vol.7, no.1, 77-91.

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5. Bouri, E., Molnar, P., Azzi, G., Roubaud, D., Hagfors, L.I.. On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance research letters, vol.20, 192-198.

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6. Kajtazi, Anton, Moro, Andrea. The role of bitcoin in well diversified portfolios: A comparative global study. International review of financial analysis, vol.61, 143-157.

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7. Pho, Kim Hung, Ly, Sel, Lu, Richard, Hoang, Thi Hong Van, Wong, Wing-Keung. Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China. International review of financial analysis, vol.74, 101674-.

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8. Lee, Hyun-Jun, Kim, Hyoung-Joong. A Study on Cryptocurrency Market in China. 디지털콘텐츠학회 논문지 = Journal of Digital Contents Society, vol.20, no.3, 537-545.

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9. Lee, Shin-Nam. A Study of Bitcoin Acceptance in Korea. 디지털콘텐츠학회 논문지 = Journal of Digital Contents Society, vol.20, no.7, 1447-1452.

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10. Kristoufek, Ladislav. What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PloS one, vol.10, no.4, e0123923-.

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11. Cheah, E.T., Fry, J.. Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics letters, vol.130, 32-36.

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12. Aharon, David Yechiam, Qadan, Mahmoud. Bitcoin and the day-of-the-week effect. Finance research letters, vol.31,

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13. Corbet, Shaen, Lucey, Brian, Peat, Maurice, Vigne, Samuel. Bitcoin Futures—What use are they?. Economics letters, vol.172, 23-27.

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14. Akyildirim, Erdinc, Goncu, Ahmet, Sensoy, Ahmet. Prediction of cryptocurrency returns using machine learning. Annals of operations research, vol.297, no.1, 3-36.

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15. Urquhart, Andrew. What causes the attention of Bitcoin?. Economics letters, vol.166, 40-44.

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16. Kim, Sun-Woong. Profitability of Trading System for Cryptocurrency. 디지털콘텐츠학회 논문지 = Journal of Digital Contents Society, vol.22, no.3, 555-562.

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17. S. W. Kim, “Performance analysis of Bitcoin investment strategy using deep learning,” Journal of the Korea Convergence Society, Vol. 12, No. 4, pp. 249-258, 2021. 

18. Dyhrberg, A.H.. Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance research letters, vol.16, 85-92.

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19. Bouri, Elie, Gupta, Rangan, Lau, Chi Keung Marco, Roubaud, David, Wang, Shixuan. Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. The Quarterly review of economics and finance : journal of the Midwest Economics Association, vol.69, 297-307.

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20. Akhtaruzzaman, Md, Sensoy, Ahmet, Corbet, Shaen. The influence of Bitcoin on portfolio diversification and design. Finance research letters, vol.37, 101344-.

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21. F. Glaser, K. Zimmermann, M. Haferkorn, C. Weber, and M. Siering, “Bitcoin - Asset or currency? Revealing users’ hidden intentions,” in Proceedings of the 22nd European conference on information systems, Tel Aviv, 2014. 

22. Dyhrberg, A.H.. Bitcoin, gold and the dollar - A GARCH volatility analysis. Finance research letters, vol.16, 85-92.

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23. Grauer, Robert R., Hakansson, Nils H.. Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds. The Journal of finance, vol.42, no.3, 721-.

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24. Mokni, Khaled, Ajmi, Ahdi Noomen, Bouri, Elie, Vo, Xuan Vinh. Economic policy uncertainty and the Bitcoin-US stock nexus. Journal of multinational financial management, vol.57, 100656-.

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25. Platanakis, Emmanouil, Urquhart, Andrew. Should investors include Bitcoin in their portfolios? A portfolio theory approach. The British accounting review, vol.52, no.4, 100837-.

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27. Best, Michael J., Grauer, Robert R.. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results. The Review of financial studies, vol.4, no.2, 315-342.

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28. Jorion, Philippe. Bayes-Stein Estimation for Portfolio Analysis. Journal of financial and quantitative analysis, vol.21, no.3, 279-.

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29. DeMiguel, Victor, Garlappi, Lorenzo, Uppal, Raman. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?. The Review of financial studies, vol.22, no.5, 1915-1953.

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30. Black, Fischer, Litterman, Robert. Global Portfolio Optimization. The Financial analysts journal, vol.48, no.5, 28-43.

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31. Satchell, S, Scowcroft, A. A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction. Journal of asset management, vol.1, no.2, 138-150.

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32. Sortino, Frank A., Price, Lee N.. Performance Measurement in a Downside Risk Framework. The Journal of investing : a publication of Institutional Investor, Inc, vol.3, no.3, 59-64.

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34. C. Keating and W. F. Shadwick, “A universal performance measure,” Journal of Performance Measurement, Vol. 6, pp. 59-84, 2002. 

35. Corbet, Shaen, Meegan, Andrew, Larkin, Charles, Lucey, Brian, Yarovaya, Larisa. Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics letters, vol.165, 28-34.

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