Mean-Gini, Portfolio Theory and the Pricing of Risky Assets
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- 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.
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- Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
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- 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.
- Haim Shalit & Shlomo Yitzhaki, 2009. "Capital market equilibrium with heterogeneous investors," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 757-766.
- Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322, arXiv.org, revised Mar 2018.
- 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.
- Edward Seiler, 2001. "A nonparametric test for marginal conditional stochastic dominance," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 173-177.
- 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.
- Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing assetsâ€™ 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.
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- 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.
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- Andrey Lizyayev, 2010. "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers 10-084/2, Tinbergen Institute.
- 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.
- 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.
- 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.
- 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.
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