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Gini's Mean Difference and Portfolio Selection: An Empirical Evaluation
9 references·3 citing·35 second hop
Gini's Mean Difference and Portfolio Selection: An Empirical Evaluation (1984)Gini's Mean Difference and Portfolio Sele…Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Stochastic Dominance vs. Mean-Variance Portfolio Analysis: An Empirical Evaluation (2016)Stochastic Dominance vs. Mean…On an Extension of the Gini Inequality Index (1983)On an Extension of the Gini I…Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply (1975)Efficient Algorithms for Cond…An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria (1973)An Empirical Comparison of St…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…Making inefficient market indices efficient (2010)Making inefficient market ind…The Robustness of Risk-Return Nonlinearities to the Normality Assumption (1992)The Robustness of Risk-Return…A linear programming algorithm for determining mean-Gini efficient farm plans (1988)A linear programming algorith…Risk Aversion in the Small and in the Large (1976)Theory of Financial Decision Making. (1988)Increasing Downside Risk (2016)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Simple Plant-Location Problem under Uncertainty (1976)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)The Utility Analysis of Choices Involving Risk (1948)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)On the measurement of inequality (1970)Poverty: An Ordinal Approach to Measurement (1976)Unequal inequalities. I (1976)A note on the calculation and interpretation of the Gini index (1984)Conindex: Estimation of Concentration Indices (2016)Portfolio Selection: Efficient Diversification of Investments (1959)Capital market equilibrium in a mean-lower partial moment framework (1977)Chapter 2 Measurement of inequality (2000)PORTFOLIO SELECTION* (1952)A Test of the Efficiency of a Given Portfolio (1989)An empirical analysis of marginal conditional stochastic dominance (2011)Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis (2014)Safety First and the Holding of Assets (1952)Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations (1962)A Linear Alternative to Quadratic and Semivariance Programming for Farm Planning under Uncertainty (1971)The variation of certain speculative prices (1997)Measuring Market Risk (2005)Optimal algorithms and lower partial moment: ex post results (1991)The characteristics of portfolios selected by n-degree Lower Partial Moment (1992)Sampling Errors and Portfolio Efficient Analysis (1980)The Investment Performance of Unit Trusts and Mutual Funds in Australia for the Period 1969 to 1978 (1986)The Use of Dynamic Financial Analysis to Determine Whether an Optimal Growth Rate Exists for a Property‐Liability Insurer (2004)
this work references cited by second hop

References

  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1983On an Extension of the Gini Inequality Index608 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1963An Expected Gain-Confidence Limit Criterion for Portfolio Selection429 cited
  • 2016Stochastic Dominance vs. Mean-Variance Portfolio Analysis: An Empirical Evaluation116 cited
  • 1973An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria86 cited
  • 1975Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply79 cited

Cited by

  • 2010Making inefficient market indices efficient30 cited
  • 1992The Robustness of Risk-Return Nonlinearities to the Normality Assumption19 cited
  • 1988A linear programming algorithm for determining mean-Gini efficient farm plans11 cited

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