search query: @indexterm STATISTICAL METHODS / total: 745
reference: 309 / 745
Author: | Okunev, J. |
Title: | The generation of mean Gini efficient sets |
Journal: | Journal of Business Finance and Accounting
1990 : JAN, VOL. 18:2, p.209-218 |
Index terms: | STATISTICAL METHODS UNCERTAINTY LINEAR PROGRAMMING MODELS STOCHASTIC PROCESSES |
Language: | eng |
Abstract: | The two most favoured methods for comparing uncertain prospects have been the mean variance and second-degree stochastic dominance models. Yitzhaki has recently proposed new approach to specify the efficient set of alternatives for risk averse decision makers. This alternative model is based upon the mean and Gini's mean difference to compare uncertain prospects. Theoretically the mean Gini model appears to be superior to the mean variance model, as all mean Gini efficient portfolios are second order stochastic dominant. It is demonstrated how mean Gini efficient portfolios may be determined by the use of linear programming. |
SCIMA