A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR

Autor:	Ghizlane Lakhnati, Jamal Agouram
Rok vydání:	2015
Předmět:	Expected shortfall Actuarial science CVAR Market portfolio Value (economics) Economics Econometrics Portfolio Portfolio optimization Value at risk Selection (genetic algorithm)
Zdroj:	Journal of Financial Risk Management. :72-81
ISSN:	2167-9541 2167-9533
DOI:	10.4236/jfrm.2015.42007
Popis:	This paper focuses on two methods for optimum market portfolio selection. We compare the Mean-Variance method with the Mean-Gini method using MADEX data from turbulent market periods in 2011, 2012 and 2013. We compare both strategies with reference to value at-risk (VaR) and conditional value-at-risk (CVaR) measures during periods of financial crisis. The results show that both strategies are profitable for investors. We consider the Mean-Gini strategy to be the more secure strategy during periods of market instability.
Databáze:	OpenAIRE
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