A Comparative Study of Mean-Variance  and Mean Gini Portfolio Selection  Using VaR and CVaR

Jamal Agouram; Ghizlane Lakhnati

doi:10.4236/jfrm.2015.42007

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Journal of Financial Risk Management > Vol.4 No.2, June 2015

A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR ()

Jamal Agouram, Ghizlane Lakhnati

National School of Applied Sciences (ENSA), Agadir, Morocco.

DOI: 10.4236/jfrm.2015.42007 PDF HTML XML 4,610 Downloads 5,784 Views Citations

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.

Keywords

Conditional Value-at-Risk, Mean-Gini, Mean-Variance, Portfolio Selection, Value-at-Risk

Share and Cite:

Agouram, J. and Lakhnati, G. (2015) A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR. Journal of Financial Risk Management, 4, 72-81. doi: 10.4236/jfrm.2015.42007.

Conflicts of Interest

The authors declare no conflicts of interest.

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