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Stochastic Dominance, Mean Variance, and Gini's Mean Difference


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Cited by:

  1. Walter Murray & Howard Shek, 2012. "A local relaxation method for the cardinality constrained portfolio optimization problem," Computational Optimization and Applications, Springer, vol. 53(3), pages 681-709, December.
  2. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
  3. Haim Shalit, 1995. "Mean-Gini analysis of stochastic externalities: The case of groundwater contamination," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 6(1), pages 37-52, July.
  4. Fang, Yong & Chen, Lihua & Fukushima, Masao, 2008. "A mixed R&D projects and securities portfolio selection model," European Journal of Operational Research, Elsevier, vol. 185(2), pages 700-715, March.
  5. Kaplanski, Guy & Kroll, Yoram, 2002. "VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey," MPRA Paper 80070, University Library of Munich, Germany.
  6. David Wozabal, 2014. "Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach," Operations Research, INFORMS, vol. 62(6), pages 1302-1315, December.
  7. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  8. Marciano Siniscalchi, 2009. "Vector Expected Utility and Attitudes Toward Variation," Econometrica, Econometric Society, vol. 77(3), pages 801-855, May.
  9. Edwin Fourrier-Nicolaï & Michel Lubrano, 2020. "Bayesian inference for TIP curves: an application to child poverty in Germany," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 18(1), pages 91-111, March.
  10. Miguel A. Lejeune & John Turner, 2019. "Planning Online Advertising Using Gini Indices," Operations Research, INFORMS, vol. 67(5), pages 1222-1245, September.
  11. Kingwell, Ross, 1996. "Programming models of farm supply response: The impact of specification errors," Agricultural Systems, Elsevier, vol. 50(3), pages 307-324.
  12. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
  13. Ruchika Sehgal & Aparna Mehra, 2019. "Enhanced indexing using weighted conditional value at risk," Annals of Operations Research, Springer, vol. 280(1), pages 211-240, September.
  14. Zhenlong Jiang & Ran Ji & Kuo-Chu Chang, 2020. "A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(7), pages 1-20, July.
  15. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 3, pages 85-95, June.
  16. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
  17. repec:kap:iaecre:v:15:y:2009:i:4:p:369-377 is not listed on IDEAS
  18. Ramos, Héctor M. & Sordo, Miguel A., 2003. "Dispersion measures and dispersive orderings," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 123-131, January.
  19. Yitzhaki, Shlomo, 2002. "Do we need a separate poverty measurement?," European Journal of Political Economy, Elsevier, vol. 18(1), pages 61-85, March.
  20. Horace Ho, 2009. "An Experimental Study of Risk Aversion in Decision-making Under Uncertainty," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(4), pages 369-377, November.
  21. Shlomo Yitzhaki, 2003. "Gini’s Mean difference: a superior measure of variability for non-normal distributions," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 285-316.
  22. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1270251-127, January.
  23. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  24. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
  25. Tortosa-Ausina, Emili, 2002. "Exploring efficiency differences over time in the Spanish banking industry," European Journal of Operational Research, Elsevier, vol. 139(3), pages 643-664, June.
  26. Haim Shalit, 2020. "The Shapley value of regression portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 506-512, October.
  27. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
  28. Jun-ya Gotoh & Hiroshi Konno, 2000. "Third Degree Stochastic Dominance and Mean-Risk Analysis," Management Science, INFORMS, vol. 46(2), pages 289-301, February.
  29. Trajtenberg, Manuel & Yitzhaki, Shlomo, 1989. "The Diffusion of Innovations: A Methodological Reappraisal," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 35-47, January.
  30. Louis Chauvel, 2016. "The Intensity and Shape of Inequality: The ABG Method of Distributional Analysis," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 62(1), pages 52-68, March.
  31. O. Stark & S. Yitzhaki, 1988. "Merging populations, stochastic dominance and Lorenz curves," Journal of Population Economics, Springer;European Society for Population Economics, vol. 1(2), pages 157-161, October.
  32. Philippe Delquié, 2012. "Risk Measures from Risk-Reducing Experiments," Decision Analysis, INFORMS, vol. 9(2), pages 96-102, June.
  33. Branda, Martin, 2013. "Diversification-consistent data envelopment analysis with general deviation measures," European Journal of Operational Research, Elsevier, vol. 226(3), pages 626-635.
  34. Claudio Zoli, 2002. "Inverse stochastic dominance, inequality measurement and Gini indices," Journal of Economics, Springer, vol. 9(1), pages 119-161, December.
  35. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
  36. Ran Ji & Miguel A. Lejeune & Srinivas Y. Prasad, 2017. "Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria," Annals of Operations Research, Springer, vol. 248(1), pages 305-343, January.
  37. Haim Shalit & Shlomo Yitzhaki, 2010. "How does beta explain stochastic dominance efficiency?," Review of Quantitative Finance and Accounting, Springer, vol. 35(4), pages 431-444, November.
  38. Bailey, Elizabeth & Boisvert, Richard N., 1989. "A Comparison Of Risk Efficiency Criteria In Evaluating Groundnut Performance In Drought-Prone Areas," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 33(3), pages 1-17, December.
  39. Stefan Arent & Alexander Eck & Michael Kloß & Oskar Krohmer, 2012. "Income Risk, Saving and Taxation:Will Precautionary Saving Survive?," ifo Working Paper Series 125, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  40. Cillo, Alessandra & Delquié, Philippe, 2014. "Mean-risk analysis with enhanced behavioral content," European Journal of Operational Research, Elsevier, vol. 239(3), pages 764-775.
  41. Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
  42. Haim Shalit, 2021. "The Shapley value decomposition of optimal portfolios," Annals of Finance, Springer, vol. 17(1), pages 1-25, March.
  43. Schmid Friedrich & Trede Mark, 2000. "Stochastic Dominance in German Asset Returns: Empirical Evidence from the 1990s / Stochastische Dominanz von Renditen deutscher Aktien: Eine empirische Untersuchung für die 90er Jahre," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(3), pages 315-326, June.
  44. Yaser Mehrali & Majid Asadi & Omid Kharazmi, 2018. "A Jensen–Gini measure of divergence with application in parameter estimation," METRON, Springer;Sapienza Università di Roma, vol. 76(1), pages 115-131, April.
  45. Levy, Moshe, 2009. "Almost Stochastic Dominance and stocks for the long run," European Journal of Operational Research, Elsevier, vol. 194(1), pages 250-257, April.
  46. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September.
  47. Shlomo Yitzhaki, 2015. "Gini’s mean difference offers a response to Leamer’s critique," METRON, Springer;Sapienza Università di Roma, vol. 73(1), pages 31-43, April.
  48. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
  49. Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
  50. Haim Shalit, 2017. "The Shapley Value Decomposition Of Optimal Portfolios," Working Papers 1701, Ben-Gurion University of the Negev, Department of Economics.
  51. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
  52. Gianfranco Guastaroba & Renata Mansini & Wlodzimierz Ogryczak & M. Grazia Speranza, 2020. "Enhanced index tracking with CVaR-based ratio measures," Annals of Operations Research, Springer, vol. 292(2), pages 883-931, September.
  53. Tan, Zhijia & Yang, Hai & Guo, Renyong, 2014. "Pareto efficiency of reliability-based traffic equilibria and risk-taking behavior of travelers," Transportation Research Part B: Methodological, Elsevier, vol. 66(C), pages 16-31.
  54. Adam Krzemienowski, 2009. "Risk preference modeling with conditional average: an application to portfolio optimization," Annals of Operations Research, Springer, vol. 165(1), pages 67-95, January.
  55. E. Schechtman & S. Yitzhaki, 2003. "A Family of Correlation Coefficients Based on the Extended Gini Index," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 1(2), pages 129-146, August.
  56. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, Open Access Journal, vol. 6(1), pages 1-20, January.
  57. 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.
  58. Blavatskyy, Pavlo, 2016. "Probability weighting and L-moments," European Journal of Operational Research, Elsevier, vol. 255(1), pages 103-109.
  59. Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," NBER Working Papers 21432, National Bureau of Economic Research, Inc.
  60. Raffaella Piccarreta, 2001. "A new measure of nominal-ordinal association," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(1), pages 107-120.
  61. Frank Hespeler & Haim Shalit, 2018. "Mean-Extended Gini Portfolios: A 3D Efficient Frontier," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 731-740, March.
  62. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
  63. Ashish Singh & Kaushalendra Kumar & Abhishek Singh, 2015. "The Changing Structure of Inequality in India, 1993-2010: Some Observations and Consequences," Economics Bulletin, AccessEcon, vol. 35(1), pages 590-603.
  64. Yan Lau & Harvey S. Rosen, 2015. "Are Universities Becoming More Unequal?," Working Papers 245, Princeton University, Department of Economics, Center for Economic Policy Studies..
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