Three-component portfolios containing gold Cover Image

Three-component portfolios containing gold
Three-component portfolios containing gold

Author(s): Katarzyna Mamcarz
Subject(s): Economy, Business Economy / Management
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: diversification; gold portfolio; minimum variance portfolio; optimal portfolio

Summary/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 varianceand a higher rate of return. In the optimal portfolios, as the percentage of gold increased, the rate of returndropped 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.

  • Issue Year: 2017
  • Issue No: 86
  • Page Range: 71-82
  • Page Count: 12
  • Language: English