Journal of Financial Risk Management

Volume 4, Issue 2 (June 2015)

ISSN Print: 2167-9533   ISSN Online: 2167-9541

Google-based Impact Factor: 1.09  Citations  

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

HTML  XML Download Download as PDF (Size: 329KB)  PP. 72-81  
DOI: 10.4236/jfrm.2015.42007    4,601 Downloads   5,763 Views  Citations

ABSTRACT

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.

Share and Cite:

Agouram, J. and Lakhnati, G. (2015) A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR. Journal of Financial Risk Management, 4, 72-81. doi: 10.4236/jfrm.2015.42007.

Cited by

[1] Ownership Structure and Performance of Companies: Exploratory Study via a Systematic Review of the Literature
2021
[2] Performance and Risks: Islamic Indices and Compared to Conventional Indices
2021
[3] An Empirical Comparison of Different Two-Factor Models in the Context of Portfolio Optimisation
Advances in Science Technology and Engineering Systems Journal, 2020
[4] The Covid-19 Pandemic and the Moroccan Financial Market: An Event Study
2020
[5] Capital Asset Pricing Model (CAPM) Study in Mean-Gini Model
2020
[6] Empirical investigation of stock return and risk as reflected by conditional volatility, downside risk, and fear
2018
[7] Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets
Research in International Business and Finance, 2018
[8] MEAN-GINI AND MEAN-EXTENDED GINI PORTFOLIO SELECTION: AN EMPIRICAL ANALYSIS
Risk governance & control: financial markets & institutions, 2016

Journals Menu
Follow SCIRP
Contact us
customer@scirp.org
WhatsApp +86 18163351462(WhatsApp)
Click here to send a message to me 1655362766
Paper Publishing WeChat

Copyright © 2023 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.