We evaluate Bitcoin performance based on the Aumann and Serrano index relative to the performance of other assets. Our evaluation shows that Bitcoin is rated highly by the Sharpe ratio but rated very poorly by the Aumann and Serrano index. We also find some stock assets can beat Bitcoin by ...
rebalancing allocation to cryptocurrencies has a significant impact on the Sharpe ratio of all the portfolios investigated. We have updated our analysis to determine whether an allocation to cryptocurrencies