MEAN-GINI AND MEAN-EXTENDEDGINI PORTFOLIO SELECTION:AN EMPIRICAL ANALYSIS

Risk Governance & Control: Financial Markets & Institutions

关键词: Mean-Gini;    Mean-Extended Gini;    Portfolio Selection;    Performance Measures;   

DOI  :  10.22495/rcgv6i3c1art7

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

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.

【 授权许可】

CC BY-NC