What is the optimal weight for gold in a portfolio?

【Author】 Lucey, Brian M.; Peat, Maurice; Sevic, Aleksandar; Vigne, Samuel A.

【Source】ANNALS OF OPERATIONS RESEARCH

【影响因子】4.820

【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.

【Keywords】Gold; Portfolio formation; Asset allocation

【发表时间】2019 FEB

【收录时间】2022-01-02

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