Mean-gini and mean-extended gini portfolio selection: An empirical analysis
| Autor: | Lakhnati Ghizlane, Jamal Agouram |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
010407 polymers
Economics and Econometrics 050208 finance Financial economics Strategy and Management 05 social sciences Performance Measures 01 natural sciences 0104 chemical sciences Mean-Gini Portfolio Selection Mean-Extended Gini lcsh:Finance lcsh:HG1-9999 0502 economics and business Econometrics Portfolio Finance Selection (genetic algorithm) Mathematics |
| Zdroj: | Risk Governance & Control: Financial Markets & Institutions, Vol 6, Iss 3-1, Special issue, Pp 59-66 (2016) |
| ISSN: | 2077-4303 2077-429X |
| DOI: | 10.22495/rcgv6i3c1art7 |
| Popis: | The purpose of this study was to examine Mean-Gini strategy (MG) and Mean-Extended Gini strategy (MEG) for optimum portfolio selection, in terms of the monthly Rate of Return, Standard Deviation, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. This paper compared different optimum portfolio strategies, based on Moroccan financial market data taken from turbulent market periods between the years 2007 to 2015. Two distinct sub-periods were studied: (1) crisis period: 2007-2009; (2) post-crisis period: 2010-2015. The results show that both strategies were profitable for investors, but that the MEG strategy is the more appropriate and secure strategy for an individual investor. |
| Databáze: | OpenAIRE |
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