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International Portfolio Formation, Skewness and the Role of Gold · Study

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PreprintInternational Portfolio Formation, Skewness and the Role of Gold

Brian M. Lucey2003

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Preprintgreen2003

International Portfolio Formation, Skewness and the Role of Gold

Brian M. Lucey · Edel Tully

60 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985Using daily stock returns 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1963Mandelbrot and the Stable Paretian Hypothesis 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements 1966Forecasts of Future Prices, Unbiased Markets, and "Martingale" Models 1997Portfolio selection and skewness: Evidence from international stock markets 1989Gold and Gold Stocks as Investments for Institutional Portfolios 1978Diversification in a Three-Moment World

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2016The Price of Shelter - Downside Risk Reduction with Precious Metals 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange 2017Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.452482

openalex_workW2101391007

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