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Does gold improve international diversification of U.S. Portfolio?

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Listed:
  • Hana Belhadj

    (Faculty of Economics and Management of Sfax, University of Sfax)

  • Salah Ben Hamad

    (Faculty of Economics and Management of Tunis, University of Tunis El Manar)

Abstract

This article aims to assess the role of gold in the international diversification of U.S. portfolios over the period from 2005 to 2016, divided into three sub-periods: before, during, and after the 2007–2009 crisis, using the stochastic dominance (SD) approach. The main advantage of this method is that it imposes no restriction on the distribution of returns. Our results show that the portfolio including gold stochastically dominates the portfolio without gold at the second and third orders, during and after the crisis period. This implies that risk-averse investors would benefit from including gold in their portfolios to maximize their expected utility.

Suggested Citation

  • Hana Belhadj & Salah Ben Hamad, 2025. "Does gold improve international diversification of U.S. Portfolio?," SN Business & Economics, Springer, vol. 5(11), pages 1-21, November.
    • Handle: RePEc:spr:snbeco:v:5:y:2025:i:11:d:10.1007_s43546-025-00932-6
    DOI: 10.1007/s43546-025-00932-6
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