“...Using a numerical optimization technique we construct the mean-extended Gini (MEG) efficient frontier as a workable alternative to the mean-variance efficient...”

“...Stochastic dominance rules provide necessary and sufficient conditions for characterizing efficient portfolios that suit all expected utility maximizers. For...”

“...This article presents a methodology for using the Lorenz curve in financial economics. Most of the recent quantitative risk measures that abide by the rules of...”

“...Investment managers always look for securities to improve their portfolio performance and a common mechanism is the mean-variance (MV) model. As an...”

“...The OLS estimator is a weighted average of the slopes delineated by adjacent observations. These weights depend only on the independent variable. Equal weights...”

“...One of the more efficient methods to hedge portfolios of securities whose put options are not traded is to use stock index options. We use the mean-extended...”

“...This paper examines a mean-Gini model of systematic risk estimation that resolves some econometric problems with mean-variance beta estimation and allows for...”

“...A comprehensive empirical analysis of the mean return and conditional variance of Tel Aviv Stock Exchange (TASE) indices is performed using various GARCH...”

“...This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different...”