Investing in gold: Individual asset risk in the long run

This study examines gold’s contribution to portfolio risk over different time scales. The analysis is based on wavelet decompositions of the variances and covariances associated with a portfolio that includes gold, stocks, 10-year government bonds and three-month Treasury bills. The results suggest that gold provides the lowest contribution to portfolio risk only when considered over medium- and long-term investment horizons.

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Year of publication:	2014
Authors:	Michis, Antonis A.
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 11.2014, 4, p. 369-374
Publisher:	Elsevier
Subject:	Gold \| Asset risk \| Wavelets \| Covariance

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G15 - International Financial Markets ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011118180