A comparison of the gold-oil portfolio and oil portfolio: A stochastic dominance approach

被引：11
|
作者：
AlKhazali, Osamah M. [1 ]
Lean, Hooi Hooi [2 ]
Mirzaei, Ali [1 ]
Zoubi, Taisier [3 ]
机构：
[1] Amer Univ Sharjah, Sch Business Adm, Finance Dept, Sharjah, U Arab Emirates
[2] Univ Sains Malaysia, Sch Social Sci, Econ Program, George Town, Malaysia
[3] Amer Univ Sharjah, Sch Business Adm Finance Dept, Accounting Dept, Sharjah, U Arab Emirates
来源：
FINANCE RESEARCH LETTERS | 2021年 / 40卷
关键词：
Gold; Oil; Portfolio diversification; Stochastic dominance analysis; MEAN-VARIANCE ANALYSIS; SAFE HAVEN; PRICE MOVEMENTS; IMPACT; HEDGE; SHOCKS; STOCKS; TESTS; SOUTH;
D O I：
10.1016/j.frl.2020.101670
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Using the stochastic dominance (SD) approach, this paper examines whether the gold-oil portfolio return stochastically dominates the oil portfolio return. The SD results show that the gold-oil portfolio stochastically dominates the one without gold at the SSD and TSD orders. We also find that portfolio risk decreases as we add more gold into the oil portfolios. This indicates that risk-averse investors in the oil market should include gold in their portfolios to maximize their expected utilities. The findings of this paper suggest that investors may design appropriate investments with gold to diversify their oil portfolios.
引用
收藏
页数：8
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