dc.contributor.author | Vigne, Samuel | en |
dc.contributor.author | Lucey, Brian | en |
dc.contributor.author | Sevic, Aleksandar | en |
dc.date.accessioned | 2020-04-02T11:40:41Z | |
dc.date.available | 2020-04-02T11:40:41Z | |
dc.date.issued | 2021 | en |
dc.date.submitted | 2021 | en |
dc.identifier.citation | Lucey, B.M., Peat M., Sevic, A., Vigne S.A., What is the optimal weight for gold in a portfolio?, Annals of Operations Research, 2021, 277 - 291 | en |
dc.identifier.other | Y | en |
dc.identifier.uri | https://link.springer.com/article/10.1007/s10479-019-03496-5 | |
dc.identifier.uri | http://hdl.handle.net/2262/92171 | |
dc.description | PUBLISHED | en |
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.extent | 277 | en |
dc.format.extent | 291 | en |
dc.language.iso | en | en |
dc.relation.ispartofseries | Annals of Operations Research | en |
dc.rights | Y | en |
dc.subject | Gold | en |
dc.subject | Portfolio allocation | en |
dc.title | What is the optimal weight for gold in a portfolio? | en |
dc.type | Journal Article | en |
dc.type.supercollection | scholarly_publications | en |
dc.type.supercollection | refereed_publications | en |
dc.identifier.peoplefinderurl | http://people.tcd.ie/svigne | en |
dc.identifier.peoplefinderurl | http://people.tcd.ie/sevica | en |
dc.identifier.peoplefinderurl | http://people.tcd.ie/blucey | en |
dc.identifier.rssinternalid | 215155 | en |
dc.rights.ecaccessrights | openAccess | |
dc.subject.TCDTheme | International Development | en |
dc.subject.TCDTheme | International Integration | en |
dc.subject.TCDTag | Finance | en |
dc.subject.TCDTag | International Finance | en |
dc.subject.TCDTag | economics and finance | en |
dc.identifier.rssuri | https://link.springer.com/article/10.1007/s10479-019-03496-5 | en |
dc.identifier.orcid_id | 0000-0003-1831-617X | en |
dc.status.accessible | N | en |