Skip to content
Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

2/2017 (86)
OpenAlex

Data describes this article or chapter.

Record found in the database

Citations
1
References
8
Citations by year
YearCitations
20171

Data retrieved:

View source (new tab)
OpenCitations

Data describes this article or chapter.

Citations
0

Data retrieved:

View source (new tab)
Google Scholar
Find in Google Scholar (new tab)

Three-component portfolios containing gold

DOI: 10.18276/frfu.2017.86-06
Cite

The full text is available

ISSN:2450-7741
eISSN:2300-4460
Authors: Katarzyna Mamcarz
Uniwersytet Marii Curie-Skłodowskiej w Lublinie, Wydział Ekomoniczny, Zakład Analiz Rynkowych
Keywords: diversification gold portfolio minimum variance portfolio optimal portfolio
Issue / book publication date:2017
Page range:12 (71-82)
OAI-PMH:Metadata
CC BY-SA Open Access
QR code

Abstract

Purpose – The goal of the article was to assess the role of gold as a component of three-component portfolios, i.e. gold combined with: the S&P500 + WILREIT index portfolio, the S&P500 + TR/J CRB index portfolio, and the WILREIT + TR/J CRB index portfolio. Design/Methodology/approach – On the basis of the historical data of the analyzed assets, and in accordance with the portfolio theory, two-component minimum variance portfolios and optimal portfolios were constructed, and then, respectively, three-component portfolios containing gold. Findings – The study has shown that the portfolios with a higher percentage of gold had a lower minimum variance and a higher rate of return. In the optimal portfolios, as the percentage of gold increased, the rate of return dropped with a simultaneous risk reduction, the portfolios with higher gold percentages exhibiting a lower range of the rate of return variability. Originality/Value – The assessment of the role of gold as a component of investment portfolios is of significant practical importance during the periods of uncertainty in many asset markets.

PDF

Download PDF
Preview PDF

Open PDF

Bibliography

  1. Chua, J., Stick, G., Woodward, R. (1990). Diversifying with Gold Stocks. “Financial Analysts Journal”, Vol. 46, No. 4, pp.76–79.
  2. Ciner, C. (2001). On the Longrun Relationship between Gold and Silver: A Note, “Global Finance Journal”, 12, pp. 299–303.
  3. Davidson S., Faff R., Hillier D., Gold factor exposures in international asset pricing, “Journal of International Financial Markets, Institutions and Money”, Vol. 13, No. 3, pp. 271–289.
  4. Demidova-Menzel, N., Heidorn, T. (2007). Gold in the Investment Portfolio. Frankfurt School - Working Paper, 87, pp. 3–45.
  5. Ghosh, D., Levin, J., Macmillan, P., Wright, E. (2004). Gold as an inflation hedge? “Studies Economics and Finance”, 22 (1), pp. 1–25.
  6. Hillier D. , Draper P., Faff R. (2006), Do Precious Metals Shine? An Investment Perspective, Financial Analysts Journal, Vol. 62, No. 2, pp. 98-106.
  7. Mani, G., Vuyyuri, S. (2005). Gold Pricing in India: An Econometric Analysis. “Journal of Economic Research”, 16 (1). Retrived from: http://ssrn.com/abstract=715841
  8. Markowitz, H. (1952). Portfolio selection.”The Journal of Finance”, 7(1), pp. 77-91.
  9. Nauckhoff, M. (2011). Strategische Metalle und seltene Erden, 2. Auflage, FinanzBuch Verlag, München.
  10. Stopfer, A. (2006). Rohstoffe zur nominalen und realen Porfolio-Absicherung. In U. Bergold, R. Eller (Ed.), Investmentstrategien mit Rohstoffen (pp. 131-154), WILEY-VCH Verlag, Weinheim.