A comparison of the gold-oil portfolio and oil portfolio: A stochastic dominance approach

Osamah M. AlKhazali, Hooi Hooi Lean (), Ali Mirzaei and Taisier Zoubi

Finance Research Letters, 2021, vol. 40, issue C

Abstract: Using the stochastic dominance (SD) approach, this paper examines whether the gold-oil portfolio return stochastically dominates the oil portfolio return. The SD results show that the gold-oil portfolio stochastically dominates the one without gold at the SSD and TSD orders. We also find that portfolio risk decreases as we add more gold into the oil portfolios. This indicates that risk-averse investors in the oil market should include gold in their portfolios to maximize their expected utilities. The findings of this paper suggest that investors may design appropriate investments with gold to diversify their oil portfolios.

Keywords: Gold; Oil; Portfolio diversification; Stochastic dominance analysis (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320302191
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320302191

DOI: 10.1016/j.frl.2020.101670

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().