What is the optimal weight for gold in a portfolio?
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...
Paper Details
Title
What is the optimal weight for gold in a portfolio?
Published Date
Dec 19, 2019
Volume
297
Issue
1-2
Pages
277 - 291
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Notes
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