This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By...

This paper examines a mean-Gini model of systematic risk estimation that resolves some econometric problems with mean-variance beta estimation and allows for heterogeneous risk aversion across investors. Using the mean-extended Gini (MEG) model, we estimate systematic risks for different degrees...

The OLS estimator is a weighted average of the slopes delineated by adjacent observations. These weights depend only on the independent variable. Equal weights are obtained if and only if the independent variable is normally distributed. This feature is used to develop a new test for normality...

Stochastic dominance rules provide necessary and sufficient conditions for characterizing efficient portfolios that suit all expected utility maximizers. For the finance practitioner, though, these conditions are not easy to apply or interpret. Portfolio selection models like the mean-variance...

This paper introduces the concept of Marginal Conditional Stochastic Dominance (MCSD), which states the conditions under which all risk-averse individuals, when presented with a given portfolio, prefer to increase the share of one risky asset over that of another. MCSD rules also answer the...

This paper compiles the risk measures associated with the Lorenz curve. The Lorenz curve is the main tool in economics for measuring income distribution and inequality. For the past decades some of the Lorenz curve spin-offs have been used in risk analysis and finance. In particular, the Lorenz...