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A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR
National School of Applied Sciences (ENSA), Agadir, Morocco
National School of Applied Sciences (ENSA), Agadir, Morocco
- 1 National School of Applied Sciences (ENSA), Agadir, Morocco
- 2 National School of Applied Sciences (ENSA), Agadir, Morocco
Journal of Financial Risk Management·Volume 04 (2015)·Pages 72–81·Published 29 April 2015·DOI10.4236/jfrm.2015.42007
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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.
KeywordsConditional Value-at-RiskMean-GiniMean-VariancePortfolio SelectionValue-at-Risk
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