Investing in gold: Individual asset risk in the long run
Antonis Michis ()
Finance Research Letters, 2014, vol. 11, issue 4, 369-374
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.
Keywords: Gold; Asset risk; Wavelets; Covariance (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G15 (search for similar items in EconPapers)
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Working Paper: Investing in Gold: Individual Asset Risk in the Long Run (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:4:p:369-374
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