Could Diamond and/or Gold Investment Improve Portfolio Efficiency?
碩士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This paper aims to examine whether adding diamond and/or gold into conventional investment portfolios could improve the portfolio efficiency. Accredited to its low correlation with the macro-economy and other assets, diamond could help diversifying risks prior...
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| Format: | Others |
| Language: | en_US |
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2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2c54h3 |
| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 105 === This paper aims to examine whether adding diamond and/or gold into conventional investment portfolios could improve the portfolio efficiency. Accredited to its low correlation with the macro-economy and other assets, diamond could help diversifying risks prior to and during crisis but have limitations on return and efficiency promotion. On the other hand, gold reaffirms its safe haven property during crisis. Containing gold in a portfolio could effectively improve expected return and Sharpe ratio of the portfolio. Therefore, we conclude that diamond is a good diversifier to an investment portfolio but gold is a real safe haven at the peak of the financial crisis.
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