Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

Abstract : 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.
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https://hal.umontpellier.fr/hal-02010732
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Soumis le : jeudi 7 février 2019 - 13:50:59
Dernière modification le : jeudi 6 juin 2019 - 14:49:13

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Thi-Hong-Van Hoang, Wing-Keung Wong, Zhenzhen Zhu. Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. Economic Modelling, Elsevier, 2015, 50, pp.200-211. ⟨10.1016/j.econmod.2015.06.021⟩. ⟨hal-02010732⟩

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