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Mean-Gini, Portfolio Theory and the Pricing of Risky Assets


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Cited by:

  1. Darren Butterworth & Phil Holmes, 2005. "The Hedging Effectiveness of U.K. Stock Index Futures Contracts Using an Extended Mean Gini Approach: Evidence for the FTSE 100 and FTSE Mid250 Contracts," Multinational Finance Journal, Multinational Finance Journal, vol. 9(3-4), pages 131-160, September.
  2. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
  3. Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
  4. Wetzstein, Michael E. & Szmedra, Philip I. & McClendon, Ronald W. & Edwards, David M., 1988. "Efficiency Criteria And Risk Aversion: An Empirical Evaluation," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(1), pages 1-8, July.
  5. Bokusheva, R. & Breustedt, G. & Heidelbach, O., 2007. "Reducing asymmetric information by alternative crop insurance schemes – Testing risk reduction of individual and index-based contracts," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 42, March.
  6. Farinelli, Simone & Ferreira, Manuel & Rossello, Damiano & Thoeny, Markus & Tibiletti, Luisa, 2008. "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2057-2063, October.
  7. Wei Shi & Scott H. Irwin, 2005. "Optimal Hedging with a Subjective View: An Empirical Bayesian Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 918-930.
  8. Blavatskyy, Pavlo, 2016. "Probability weighting and L-moments," European Journal of Operational Research, Elsevier, vol. 255(1), pages 103-109.
  9. 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.
  10. Nicole Bäuerle & Stefanie Grether, 2015. "Complete markets do not allow free cash flow streams," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 137-146, April.
  11. Aleš Kresta, 2015. "Application of Performance Ratios in Portfolio Optimization," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 1969-1977.
  12. 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.
  13. 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.
  14. Fontanari, Andrea & Cirillo, Pasquale & Oosterlee, Cornelis W., 2018. "From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 13-29.
  15. 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.
  16. Haim Shalit & Shlomo Yitzhaki, 2009. "Capital market equilibrium with heterogeneous investors," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 757-766.
  17. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322,, revised Mar 2018.
  18. 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.
  19. Edward Seiler, 2001. "A nonparametric test for marginal conditional stochastic dominance," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 173-177.
  20. Bokusheva, Raushan & Breustedt, Gunnar & Heidelbach, Olaf, 2006. "Measurement and Comparison of Risk Reduction by Means of Farm Yield, Area Yield, and Weather Index Crop Insurance Schemes - The Case of Kazakhstani Wheat Farms," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25523, International Association of Agricultural Economists.
  21. 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.
  22. Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
  23. Banu Gemici-Ozkan & S. David Wu & Jeffrey T. Linderoth & Jeffry E. Moore, 2010. "OR PRACTICE---R&D Project Portfolio Analysis for the Semiconductor Industry," Operations Research, INFORMS, vol. 58(6), pages 1548-1563, December.
  24. Doron Nisani, 2019. "Ranking Investments Using the Lorenz Curve," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 1-9, March.
  25. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
  26. Steven Toms, 2014. "Accounting-based Risk Management and the Capital Asset Pricing Model: An Empirical Comparison," Australian Accounting Review, CPA Australia, vol. 24(2), pages 127-133, June.
  27. Ringuest, Jeffrey L. & Graves, Samuel B. & Case, Randy H., 2004. "Mean-Gini analysis in R&D portfolio selection," European Journal of Operational Research, Elsevier, vol. 154(1), pages 157-169, April.
  28. Mark Salmon & Soosung Hwang, 2001. "A New Measure of Herding and Empirical Evidence," Working Papers wp01-12, Warwick Business School, Finance Group.
  29. 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.
  30. Marina Malkina & Rodion Balakin, 2015. "Correlation Assessment of Tax System Risk and Profitability in the Russian Regions," Economy of region, Centre for Economic Security, Institute of Economics of Ural Branch of Russian Academy of Sciences, vol. 1(3), pages 241-255.
  31. Andrey Lizyayev, 2010. "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers 10-084/2, Tinbergen Institute.
  32. Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model," Review of Managerial Science, Springer, vol. 11(4), pages 789-814, October.
  33. Buschena, David E. & Zilberman, David, 1994. "What Do We Know About Decision Making Under Risk And Where Do We Go From Here?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 19(2), pages 1-14, December.
  34. 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.
  35. Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December.
  36. 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.
  37. Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
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