Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria

DOI10.1007/s10479-016-2230-4zbMath1406.91414OpenAlexW2398899353MaRDI QIDQ513570

Ran Ji, Srinivas Y. Prasad, Miguel A. Lejeune

Publication date: 7 March 2017

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2230-4

zbMATH Keywords

portfolio optimizationmean-Gini modelmean-Gini ratio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Distributionally robust portfolio optimization with linearized STARR performance measure ⋮ Worst-case analysis of Gini mean difference safety measure ⋮ Enhanced indexing using weighted conditional value at risk

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