This paper re-examines gold's role as a tool for investors to manage their portfolio risk. We begin by assessing gold's average relationship to an investor's diversified equity portfolio by applying the basic Capital Asset Pricing Model (CAPM) to UK and US equity indices. Next, we apply a...

This research offers the first analysis of whether gold, treasury bills, Overnight Index Swaps (OIS), or Interbank Offered Rates (IBOR) can be used as proxies for risk-free assets in the UK, the US, China, Japan, and India. Using Black’s (1972) zero-beta capital asset pricing model, we apply...