The effect of Gold on Portfolio Diversification: The case of indexed portfolios from Tehran Stock Exchange

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ESKANDARI MAHDI; SAEEDI ALI; Fallah Mirfeiz

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2019 | Volume:9 | Issue:3 (27) Page(s): 81-107

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Title

The effect of Gold on Portfolio Diversification: The case of indexed portfolios from Tehran Stock Exchange

Author(s)

ESKANDARI MAHDI | SAEEDI ALI | Fallah Mirfeiz | Issue Writer Certificate

Keywords

RiskQ2

PortfolioQ1

DiversificationQ1

Stochastic DominanceQ1

Abstract

Risk management is part of investment decision making. Diversification as one of the Risk management techniques can increase the utility by increasing return for every unit of Risk. In this paper, we review the effect of gold on Diversification of stock Portfolios in Tehran Stock Exchange. For this purpose, we used the spot price of gold coin as a standard price for gold and we used different indexed Portfolios such as Tehran Stock Exchange Price Index, Industry Index, index of 50 companies from 2008 to 2018. We used Stochastic Dominance to rank Portfolios as one of the criteria for rating and evaluating performance is to select a Portfolio that maximizes the expected utility. By implementing Stochastic Dominance at three levels we compared the Portfolio’ s performance. The Portfolios were made of an indexed Portfolios and a share of gold which could be from 0 to 50 percent of the value of the Portfolio. The results showed that adding gold to the Portfolios of almost all of the indexes can improve their performances at 95% confidence level. The Diversification benefit of gold will be maximized when at least 20% of the Portfolios consist of gold coin.

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APA: Copy

ESKANDARI, MAHDI, SAEEDI, ALI, & Fallah, Mirfeiz. (2019). The effect of Gold on Portfolio Diversification: The case of indexed portfolios from Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 9(3 (27) ), 81-107. SID. https://sid.ir/paper/408471/en

Vancouver: Copy

ESKANDARI MAHDI, SAEEDI ALI, Fallah Mirfeiz. The effect of Gold on Portfolio Diversification: The case of indexed portfolios from Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2019;9(3 (27) ):81-107. Available from: https://sid.ir/paper/408471/en

IEEE: Copy

MAHDI ESKANDARI, ALI SAEEDI, and Mirfeiz Fallah, “The effect of Gold on Portfolio Diversification: The case of indexed portfolios from Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 9, no. 3 (27) , pp. 81–107, 2019, [Online]. Available: https://sid.ir/paper/408471/en

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