Ignoring storage and jurisdiction

Physical gold you cannot access is not really yours. Vaulted gold in a jurisdiction with capital controls has different risk than allocated storage in a neutral country.

Home storage

Fast access, no counterparty, but real theft and insurance considerations. Practical only for modest sums.

Bank safe deposit

Convenient but subject to the bank's access rules and, historically, to government freezes in crises.

Third-party allocated vaults

Segregated, audited storage in a stable jurisdiction. The standard for serious holdings above a few hundred ounces.