Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-06
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Three-component portfolios containing gold

Authors: Katarzyna Mamcarz
Uniwersytet Marii Curie-Skłodowskiej w Lublinie, Wydział Ekomoniczny, Zakład Analiz Rynkowych
Keywords: diversification gold portfolio minimum variance portfolio optimal portfolio
Year of publication:2017
Page range:12 (71-82)
Cited-by (Crossref) ?:


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 variance and a higher rate of return. In the optimal portfolios, as the percentage of gold increased, the rate of return dropped 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.
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