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Investing in Gold: Individual Asset Risk in the Long Run

Antonis Michis ()

No 2014-2, Working Papers from Central Bank of Cyprus

Abstract: 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
Date: 2014-06
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