Portfolio selection based on extended Gini shortfall risk measures

DOI10.1515/strm-2023-0001OpenAlexW4387344594MaRDI QIDQ6139263

Ghizlane Lakhnati, Lhoucine Ben Hssain, Mohammed Berkhouch

Publication date: 18 January 2024

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2023-0001

zbMATH Keywords

risk measuresvariability measuresportfolio optimization, mean-risk modelspectral Gini shortfall

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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