TITLE:
A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR
AUTHORS:
Jamal Agouram, Ghizlane Lakhnati
KEYWORDS:
Conditional Value-at-Risk, Mean-Gini, Mean-Variance, Portfolio Selection, Value-at-Risk
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.4 No.2,
May
25,
2015
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.