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<p>This article aims to assess the role of gold in the international diversification of U.S. portfolios over the period from 2005 to 2016, divided into three sub-periods: before, during, and after the 2007–2009 crisis, using the stochastic dominance (SD) approach. The main advantage of this method is that it imposes no restriction on the distribution of returns. Our results show that the portfolio including gold stochastically dominates the portfolio without gold at the second and third orders, during and after the crisis period. This implies that risk-averse investors would benefit from including gold in their portfolios to maximize their expected utility.</p>

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Does gold improve international diversification of U.S. Portfolio?

  • 期刊论文

  • 发表日期：

    2025年10月17日

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  • Hana Belhadj,
  • Salah Ben Hamad

摘要

This article aims to assess the role of gold in the international diversification of U.S. portfolios over the period from 2005 to 2016, divided into three sub-periods: before, during, and after the 2007–2009 crisis, using the stochastic dominance (SD) approach. The main advantage of this method is that it imposes no restriction on the distribution of returns. Our results show that the portfolio including gold stochastically dominates the portfolio without gold at the second and third orders, during and after the crisis period. This implies that risk-averse investors would benefit from including gold in their portfolios to maximize their expected utility.