Shalit, Haim; Yitzhaki, Shlomo - In: Quantitative Finance 9 (2009) 6, pp. 757-766
As a two-parameter model that satisfies stochastic dominance, the mean-extended Gini model is used to build efficient portfolios. The model quantifies risk aversion heterogeneity in capital markets. In a simple Edgeworth box framework, we show how capital market equilibrium is achieved for risky...