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Evaluating the Mean-Gini Approach to Portfolio Selection

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  • Shalit, Haim
  • Yitzhaki, Shlomo

Abstract

This paper evaluates the empirical properties of the mean-Gini (MG) and the mean-extended Gini (MEG) efficient sets by comparing their performance to the mean-variance (MV) portfolio selection. The analysis focuses on the similarities and differences existing between the MV, the MG, and the various MEG efficient sets. In addition, the risk parameter for which the MEG efficient set is best supported by the market data is estimated. The analysis is carried out with respect to the Tel-Aviv Stock Exchange to present empirically a new approach to portfolio selection.

Suggested Citation

  • Shalit, Haim & Yitzhaki, Shlomo, 1985. "Evaluating the Mean-Gini Approach to Portfolio Selection," Working Papers 232632, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
  • Handle: RePEc:ags:huaewp:232632
    DOI: 10.22004/ag.econ.232632
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    File URL: http://ageconsearch.umn.edu/record/232632/files/hebrewuniv-workingpapers-8507.pdf
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    References listed on IDEAS

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    1. Shalit, Haim & Yitzhaki, Shlomo, 1984. " Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets," Journal of Finance, American Finance Association, vol. 39(5), pages 1449-1468, December.
    2. Porter, R. Burr, 1973. "An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 587-608, September.
    3. Frankfurter, George M. & Phillips, Herbert E., 1975. "Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 177-179, March.
    4. Bey, Roger P. & Howe, Keith M., 1984. "Gini's Mean Difference and Portfolio Selection: An Empirical Evaluation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 329-338, September.
    5. Porter, R. Burr & Pfaffenberger, Roger C., 1975. "Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(1), pages 181-185, March.
    6. Yitzhaki, Shlomo, 1982. "Stochastic Dominance, Mean Variance, and Gini's Mean Difference," American Economic Review, American Economic Association, vol. 72(1), pages 178-185, March.
    7. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
    8. Bey, Roger P., 1979. "Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 1059-1070, December.
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    Cited by:

    1. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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    Keywords

    Research Methods/ Statistical Methods;

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