Mussard, Stéphane; Terraza, Virginie - In: Revue d'économie politique 114 (2004) 4, pp. 557-571
Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The decomposable inequality measures allow one to gauge the inequalities within and between the populations. The Gini index is assimilated to a volatility measure in order to obtain a new...