Investing in Gold: Individual Asset Risk in the Long Run
Antonis Michis ()
No 2014-2, Working Papers from Central Bank of Cyprus
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: G11 G15 (search for similar items in EconPapers)
Pages: 14 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
Journal Article: Investing in gold: Individual asset risk in the long run (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cyb:wpaper:2014-2
Access Statistics for this paper
More papers in Working Papers from Central Bank of Cyprus Contact information at EDIRC.
Bibliographic data for series maintained by Anna Markidou ().