Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5053441 | Economic Modelling | 2015 | 12 Pages |
Abstract
This article aims to study the role of gold quoted on the Shanghai Gold Exchange in the diversification of Chinese portfolios using a mean-risk and stochastic dominance analysis. With the 2004-2014 period, our results show that in general, risk-averse investors prefer not to include gold while risk-seeking investors prefer to include it in their stock-bond portfolios, especially in crisis periods. This result is found to be time-varying but not time-frequency dependent and the inclusion of the risk-free asset does not induce relevant impacts. Furthermore, risk-seekers prefer including gold in an equal-weighted portfolio while risk-averters prefer including gold in efficient portfolios.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Thi-Hong-Van Hoang, Wing-Keung Wong, Zhenzhen Zhu,