International Portfolio Formation, Skewness & the Role of Gold
This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns. Beginning with an analysis of the rationale for concerning with skewness, the paper then discusses previous attempts to model multi-objective portfolio problems. The second part of the paper outlines the attractive nature of the gold asset in equity portfolios. The paper then integrates the two elements, showing the changes in portfolio composition that arise when not only skewness but gold are concerned.
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- Davidson, Sinclair & Faff, Robert & Hillier, David, 2003. "Gold factor exposures in international asset pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 271-289, July.
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- Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 137-155, July.
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