-->

Frontiers in Finance and Economics is a UGC APPROVED International Journal of Research

International Portfolio Formation, Skewness & the Role of Gold

Brian M Lucey, Valerio Poti, Edel Tully
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.
Keywords: Portfolio Allocation, Skewness, Gold, JEL Classification: C61, G11
Share:

Search This Journal

Frontiers in Finance and Economics

FRONTIERS IN FINANCE AND ECONOMICS with ISSN no. 1814-2044 Multi-Disciplinary Journal of Economic, Finance and Business and Management Sciences. Frontiers of Finance and Economics, a bi-Annual UGC Approved Journal. Send papers for publication to editor@ffejournal.org

Journals Archive