Please use this identifier to cite or link to this item:
https://digital.lib.ueh.edu.vn/handle/UEH/61942
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lucey B.M. | - |
dc.contributor.other | Peat M. | - |
dc.contributor.other | Šević A. | - |
dc.contributor.other | Vigne S.A. | - |
dc.date.accessioned | 2021-08-20T14:48:14Z | - |
dc.date.available | 2021-08-20T14:48:14Z | - |
dc.date.issued | 2021 | - |
dc.identifier.issn | 0254-5330 | - |
dc.identifier.uri | http://digital.lib.ueh.edu.vn/handle/UEH/61942 | - |
dc.description.abstract | We show that the statistical properties of gold are negatively correlated with equities and that including gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual tool that associates a performance metric with a range of possible asset weighting schemes—a Sharpe ratio response surface. This very surface shows that a target performance metric can be achieved with a large number of different allocations. We further argue that the rebalancing approach based on the surface closest to the benchmark surface under the Hausdorrf distance metric should be selected. Using a data sample between 1990 and 2018, we find that annual rebalancing with a 44-week lookback period achieves the minimum distance from the benchmark surface. | en |
dc.format | Portable Document Format (PDF) | - |
dc.language.iso | eng | - |
dc.publisher | Springer | - |
dc.relation.ispartof | Annals of Operations Research | - |
dc.relation.ispartofseries | Vol. 297 | - |
dc.rights | Springer Science+Business Media, LLC, part of Springer Nature | - |
dc.subject | Asset allocation | en |
dc.subject | Gold | en |
dc.subject | Portfolio formation | en |
dc.title | What is the optimal weight for gold in a portfolio? | en |
dc.type | Journal Article | en |
dc.identifier.doi | https://doi.org/10.1007/s10479-019-03496-5 | - |
dc.format.firstpage | 277 | - |
dc.format.lastpage | 291 | - |
ueh.JournalRanking | Scopus | - |
item.cerifentitytype | Publications | - |
item.fulltext | Only abstracts | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | Journal Article | - |
Appears in Collections: | INTERNATIONAL PUBLICATIONS |
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