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A. Moumeesri
W. Klongdee

Authors and WSEAS

A. Moumeesri
W. Klongdee

WSEAS Transactions on Business and Economics

Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 16, 2019

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 16, 2019

The Maximum Durability Problem for Investing in Gold Market

AUTHORS: A. Moumeesri, W. Klongdee

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ABSTRACT: In this paper, we propose the model for applying in durability of investment in gold market. The rate of return is considered for this study. The gold price from January 1990 to June 2014 is transformed to be rate of return. The Laplace distribution is chosen for calculating the capital at day of because of the least statistic value of goodness of fit tests for the rate of return with the parameters 0.0063613232 and 0.00010572. We simulate the situation for calculating the capital and the number of days. The number of situations is 1,000. We are interested in the longest number of days with acceptation the loss at in order to consider the distribution associated with them. They are randomized by Laplace distribution. The distribution according with the longest number of days is used for calculating the maximum durability of investment in gold market. For the results, we found that the longest number of days is associated with the distribution of Inverse Gaussian (3P). Moreover, at confidence level 0.1 and risk level 0.9 the maximum durability of investment in gold market is 15,383 days.

KEYWORDS: Gold price, Rate of return, Laplace distribution, Inverse Gaussian distribution (3P), Maximum likelihood method, Goodness of fit test


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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #9, pp. 68-77

Copyright Β© 2018 Author(s) retain the copyright of this article. This article is published under the terms of the Creative Commons Attribution License 4.0