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The extended Gini coefficient, Γ, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982, 1983) provides conditions under which a two‐parameter framework using the mean and Γ of portfolio returns yields an efficient set consistent with...
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The main purpose of this article is to study whether firm-level return dispersions might have any significance in explaining asymmetric return correlations observed in equity market returns. Correlation asymmetry, in particular increased return correlations conditional on downside moves, implies...
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