International Portfolio Formation, Skewness and the Role of Gold

23 Pages Posted: 5 Jul 2005

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

Edel Tully

Trinity College (Dublin) - School of Business Studies

Valerio Potì

University College Dublin

Multiple version iconThere are 2 versions of this paper

Date Written: July 2004

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

Suggested Citation

Lucey, Brian M. and Tully, Edel and Potì, Valerio, International Portfolio Formation, Skewness and the Role of Gold (July 2004). IIIS Discussion Paper No. 30. Available at SSRN: https://ssrn.com/abstract=735463 or http://dx.doi.org/10.2139/ssrn.735463

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

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Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Edel Tully

Trinity College (Dublin) - School of Business Studies ( email )

AAP College Green
Dublin 2
Ireland
+353 1 608 1552 (Phone)

Valerio Potì

University College Dublin ( email )

M. Smurfit School of Business
Carysfort Avenue, Blackrock
Dublin, Co Dublin
Ireland

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