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In Gold We Trust: Should German Investors Consider Gold in Stock Portfolios?

Köstlmeier, Siegfried ; Röder, Klaus


Gold has similar expected returns and risk properties as stocks. The Sharpe ratio maximising allocation of gold in addition to diversified German stock portfolios varies between 42% and 75%. When tilting away from the market portfolio among firm-characteristics, hedge-based considerations suggest to increase the gold ratio when the underlying stock portfolio is riskier. As the correlation between ...


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