Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets

Financial Innovation

Table 4 Robustness test with different datasets

Dataset	RMSE	MAE	DA
Stock market
Set 95	0.00575	0.00470	0.90532
Set 90	0.00743	0.00733	0.93125
Set 85	0.00721	0.00635	0.89403
Set 80	0.00690	0.00334	0.88732
Wheat market
Set 95	0.00940	0.00723	0.97041
Set 90	0.00911	0.00680	0.94375
Set 85	0.00832	0.00653	0.93421
Set 80	0.00838	0.00758	0.94366
Crude oil market
Set 95	0.01525	0.01142	0.91715
Set 90	0.01589	0.01208	0.9625
Set 85	0.0164	0.01220	0.92715
Set 80	0.01221	0.00962	0.86619
Gold market
Set 95	0.00476	0.00380	0.88757
Set 90	0.00381	0.00311	0.93125
Set 85	0.00429	0.00337	0.94736
Set 80	0.00404	0.00339	0.92957
Bitcoin market
Set 95	0.03640	0.02750	0.92899
Set 90	0.03695	0.02718	0.88750
Set 85	0.03693	0.02860	0.92052
Set 80	0.03637	0.02825	0.94366