Managing a Black and Litterman portfolio’s rebalancing with gold for an Italian retail investor.

Abstract

The thesis analyses the possibility for an Italian investor to optimize his investment portfolio fiscally. In Italy, there are restrictions on the possibility of fiscally compensating one's investments, linked to the type of asset included in the portfolio. In particular, the investor has to deal with capital gains and other income, especially if he uses funds and ETFs. An analysis of the previous literature suggests using gold within the portfolio to exploit its characteristics as a safe asset, specifically during financial crises. The use of gold, combined with ETFs, makes it possible to reduce the overall risk of the portfolio thanks to diversification. The results obtained are positive, with a reduction in risk and an increase in performance on a portfolio optimized with a Black Litterman model The Black Litterman model is functional to the possibility of introducing a preference order within the ETFs to proceed with periodic rebalancing.