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. 2020 May 24;35:101607. doi: 10.1016/j.frl.2020.101607

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© 2020 The Authors

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Fig. 2 — Relative portfolio risk for different Bitcoin allocation weights.

Relative VaR (CVaR) shows the increase in VaR (CVaR) for a portfolio with proportional allocation to Bitcoin relative to a portfolio holding only the S&P 500.