Blackrock’s Bitcoin study from 2022: The optimal bitcoin allocation in a portfolio is 84.9%
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In April 2022, Blackrock published an asset allocation study based on bitcoin as solely a direct investible asset without considerations for fundamental valuation, potential to replace fiat or other positive network externalities.
The study tracks bitcoin as an asset from July 2010 to December 2021 on a monthly frequency compared against a conventional 60:40 equities and bonds portfolio and weighs the optimal allocation to bitcoin.
For a 60-40 portfolio with a fixed risk aversion of γ = 1.50, the optimal bitcoin allocation is 84.9%, with the remainder of 15.1% split 60-40 between equities and bonds.
Link to the study – https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4042239
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