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How does beta explain stochastic dominance efficiency?

Shalit, Haim; Yitzhaki, Shlomo - In: Review of quantitative finance and accounting 35 (2010) 4, pp. 431-444

Persistent link: https://www.econbiz.de/10009260269

From Concentration Profiles to Concentration Maps : new tools for the study of loss distributions

Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, … - In: Insurance / Mathematics & economics 78 (2018), pp. 13-29

Persistent link: https://www.econbiz.de/10011825063

Ranking investments using the Lorenz curve

Nisani, Doron - In: Journal of quantitative economics 17 (2019) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012418625

Stochastic ordering of Gini indexes for multivariate elliptical risks

Kim, Bara; Kim, Jeongsim - In: Insurance / Mathematics & economics 88 (2019), pp. 151-158

Persistent link: https://www.econbiz.de/10012105530

Aggregation von drei Dimensionen des Downside-Risikos durch einen modifizierten Sen-Index

Eggers, Frank; Pfingsten, Andreas; Rieso, Sven - In: Operations research proceedings 1999 : selected papers …, (pp. 311-316). 2000

Persistent link: https://www.econbiz.de/10001481282

The properties of downside risk measures

Breitmeyer, Carsten; Hakenes, Hendrik; Pfingsten, Andreas - 2001

Persistent link: https://www.econbiz.de/10001585283

The properties of downside risk measures

Breitmeyer, Carsten; Hakenes, Hendrik; Pfingsten, Andreas - 2001

Persistent link: https://www.econbiz.de/10001647293

Stochastic dominance, mean variance, and Gini's mean difference : draft

Yitzhaki, Shlomo - 1980

Persistent link: https://www.econbiz.de/10003009734

Méthodes de décomposition de la volatilité d'un portefeuille : une nouvelle approche d'estimation des risques par l'indice de Gini

Mussard, Stéphane; Terraza, Virginie - In: Revue d'économie politique 114 (2004) 4, pp. 557-571

Persistent link: https://www.econbiz.de/10002233811

Mean-Extended Gini Portfolios Personalized to the Investor’s Risk-Gain Profile

Cardin, Marta - 2012

Since Shalit and Yitzhalit (1984) the Mean-Extended Gini (MEG) has been proposed as a workable alternative to the classical Markowitz mean-variance CAPM. Although MEG keeps under control the risk belonging to the left-tail of the return distribution, small attention is reserved to potential...

Persistent link: https://www.econbiz.de/10013114628