International Portfolio Formation, Skewness and the Role of Gold

Lucey, Brian M.; Tully, Edel

doi:10.2139/ssrn.452482

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International Portfolio Formation, Skewness and the Role of Gold

25 Pages Posted: 4 Nov 2003

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Edel Tully

Trinity College (Dublin) - School of Business Studies

There are 2 versions of this paper

Date Written: September 2003

Abstract

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

Suggested Citation: Suggested Citation

Lucey, Brian M. and Tully, Edel, International Portfolio Formation, Skewness and the Role of Gold (September 2003). Available at SSRN: https://ssrn.com/abstract=452482 or http://dx.doi.org/10.2139/ssrn.452482