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Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange
- Source :
- Economic Modelling, Economic Modelling, Elsevier, 2015, 50, pp.200-211. ⟨10.1016/j.econmod.2015.06.021⟩
- Publication Year :
- 2015
- Publisher :
- HAL CCSD, 2015.
-
Abstract
- International audience; This article aims to study the role of gold quoted on the Shanghai Gold Exchange in the diversification of Chinese portfolios using a mean-risk and stochastic dominance analysis. With the 2004–2014 period, our results show that in general, risk-averse investors prefer not to include gold while risk-seeking investors prefer to include it in their stock–bond portfolios, especially in crisis periods. This result is found to be time-varying but not time-frequency dependent and the inclusion of the risk-free asset does not induce relevant impacts. Furthermore, risk-seekers prefer including gold in an equal-weighted portfolio while risk-averters prefer including gold in efficient portfolios.
- Subjects :
- Economics and Econometrics
050208 finance
Stochastic dominance
Mean-variance portfolio optimization
Financial economics
[QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]
05 social sciences
education
Diversification (finance)
[QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]
Shanghai Gold Exchange
Mean-risk
Risk-seeking
Chinese portfolios
0502 economics and business
8. Economic growth
Economics
JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions
Portfolio
Asset (economics)
Business
JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics
050207 economics
Subjects
Details
- Language :
- English
- ISSN :
- 02649993
- Database :
- OpenAIRE
- Journal :
- Economic Modelling, Economic Modelling, Elsevier, 2015, 50, pp.200-211. ⟨10.1016/j.econmod.2015.06.021⟩
- Accession number :
- edsair.doi.dedup.....37c55b0a4ebfd7463259d26705c81c48