IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v39y1984i5p1449-68.html
   My bibliography  Save this item

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

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
  3. 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.
  4. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
  5. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322, arXiv.org, revised Mar 2018.
  6. Heuchenne, Cédric & Jacquemain, Alexandre, 2022. "Inference for monotone single-index conditional means: A Lorenz regression approach," Computational Statistics & Data Analysis, Elsevier, vol. 167(C).
  7. Reza Bradrania & Davood Pirayesh Neghab, 2022. "State-dependent Asset Allocation Using Neural Networks," Papers 2211.00871, arXiv.org.
  8. 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.
  9. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
  10. Miguel A. Lejeune & John Turner, 2019. "Planning Online Advertising Using Gini Indices," Operations Research, INFORMS, vol. 67(5), pages 1222-1245, September.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Zhenlong Jiang & Ran Ji & Kuo-Chu Chang, 2020. "A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment," JRFM, MDPI, vol. 13(7), pages 1-20, July.
  16. José Claudio Isaias & Pedro Paulo Balestrassi & Guilherme Augusto Barucke Marcondes & Wesley Vieira da Silva & Carlos Henrique Pereira Mello & Claudimar Pereira da Veiga, 2021. "Project Portfolio Selection of Solar Energy by Photovoltaic Generation Using Gini-CAPM Multi-Criteria and Considering ROI Covariations," Energies, MDPI, vol. 14(24), pages 1-21, December.
  17. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Doron Nisani & Amit Shelef, 2021. "A statistical analysis of investor preferences for portfolio selection," Empirical Economics, Springer, vol. 61(4), pages 1883-1915, October.
  23. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  24. Haim Shalit, 2020. "The Shapley value of regression portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 506-512, October.
  25. 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.
  26. 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.
  27. Sadefo Kamdem, Jules, 2012. "A nice estimation of Gini index and power Pen's parade," Economic Modelling, Elsevier, vol. 29(4), pages 1299-1304.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. Bradrania, Reza & Pirayesh Neghab, Davood, 2021. "State-dependent asset allocation using neural networks," MPRA Paper 115254, University Library of Munich, Germany.
  35. Haim Shalit, 2021. "The Shapley value decomposition of optimal portfolios," Annals of Finance, Springer, vol. 17(1), pages 1-25, March.
  36. 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.
  37. Jules Sadefo Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 631-655, September.
  38. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
  39. Lifeng Wang & Jinwu Gao & Hamed Ahmadzade & Zezhou Zou, 2023. "Partial Gini Coefficient for Uncertain Random Variables with Application to Portfolio Selection," Mathematics, MDPI, vol. 11(18), pages 1-18, September.
  40. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
  41. 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.
  42. 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.
  43. Chao Wu & Miaomiao Chen & Lei Zhou & Xiaojin Liang & Wei Wang, 2020. "Identifying the Spatiotemporal Patterns of Traditional Villages in China: A Multiscale Perspective," Land, MDPI, vol. 9(11), pages 1-21, November.
  44. 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.
  45. Kresta Aleš & Wang Anlan, 2020. "Portfolio Optimization Efficiency Test Considering Data Snooping Bias," Business Systems Research, Sciendo, vol. 11(2), pages 73-85, October.
  46. Pavlo Blavatskyy, 2023. "Expected return—expected loss approach to optimal portfolio investment," Theory and Decision, Springer, vol. 94(1), pages 63-81, January.
  47. Edward Seiler, 2001. "A nonparametric test for marginal conditional stochastic dominance," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 173-177.
  48. 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.
  49. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
  50. 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.
  51. Haim Shalit & Shlomo Yitzhaki, 2009. "Capital market equilibrium with heterogeneous investors," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 757-766.
  52. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  53. Blavatskyy, Pavlo, 2016. "Probability weighting and L-moments," European Journal of Operational Research, Elsevier, vol. 255(1), pages 103-109.
  54. Schechtman, Edna & Yitzhaki, Shlomo, 1985. "A Measure of Association Based on Gini's Mean Difference," Working Papers 232621, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
  55. 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.
  56. 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.
  57. Andrey Lizyayev, 2010. "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers 10-084/2, Tinbergen Institute.
  58. 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.
  59. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.