Mean-gini and mean-extended gini portfolio selection: An empirical analysis

Agouram, Jamal; Lakhnati, Ghizlane

doi:10.22495/rcgv6i3c1art7

Cited by 3 publications

(1 citation statement)

References 14 publications

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“…The Mean-Gini (MG) approach in finance is used by Bey and Howe [34] in portfolio analysis, Okunev [35] to evaluate the performance of mutual funds, Shalit and Yitzhaki [24] and agouram & lakhnati [36] [37] [38] to obtain optimal portfolio selection, Cheung et al [39] to examine the effectiveness of hedging options and futures contracts, and Berkhouch et al [40] introduced and applied the Tail Extended Gini functional and the Extended Gini Shortfall on daily returns for the MASI index.…”

Section: The Mean-gini (Mg) Modelmentioning

confidence: 99%

An Empirical Comparison of Different Two-Factor Models in the Context of Portfolio Optimisation

2020

Adv. sci. technol. eng. syst. j.

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The crisis linked to the COVID-19 and the uncertainty it generates in the unprecedented health, societal, economic and financial fields have had a strong impact on the stock markets. Indeed, in such a climate of very high uncertainty, it is to be expected that the excessive stock market price movements will continue, with both declines and technical rebounds, and that the resulting volatility will remain particularly high. In order to cope with this crisis, investors and portfolio managers must mobilize all portfolio selection strategies. In particular, portfolio management and construction are based on the concepts of return and risk. This couple has been at the center of all the concerns of managers and investors in portfolio optimization issues since the introduction of the mean-variance model by Markowitz. However, many studies have proposed different measures of risk to overcome the drawbacks of variance. The objective of this paper is to present and compare the portfolio compositions and performance of four different portfolio optimization models using different risk measures, including variance, Mean Absolute Deviation, Gini coefficient and Lower Partial Moments (LPM). The results of this study show that the Mean-Lower Partial Moments (MLPM) model outperforms other models. The Mean-Lower Partial Moments (MLPM) model is suitable for investors during the crisis period (COVID-19) in the Moroccan financial market.

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Section: The Mean-gini (Mg) Modelmentioning

confidence: 99%

An Empirical Comparison of Different Two-Factor Models in the Context of Portfolio Optimisation

2020

Adv. sci. technol. eng. syst. j.

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Az energiaválság optimális részvénybefektetői döntésekre gyakorolt hatása

Csontos,

Gergő

2024

JTGF

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A 2020-as években lezajló válsághelyzetek különösképpen erős hatást gyakoroltak az eurózónán kívül eső, így pénzügyileg sérülékenyebb és a kiéleződött geopolitikai konfliktusoknak kitettebb közép-európai országokra, illetve azon belül is, a válságra sajátos kormányzati válaszreakciókat adó Magyarországra. Kutatási célunk volt a zöldítési politika, a Covid utáni újranyitás és az orosz energiahordozók importját érintő, európai uniós szankciós politika együttes következményeképpen kialakuló energiakrízis hatásának vizsgálata a magyarországi részvénypiacra fókuszálva, melyet a blue chipek, illetve az energetikai üzletágban érdekelt ALTEO Nyrt. részvényeinek elemzésén és az azokból kialakított portfóliók optimalizálásán keresztül végeztünk el. Ennek keretében kívántuk meghatározni, hogy egy, az előbbi 5 részvényből összeállított portfólió variancia és Gini-index alapon optimalizált struktúrájára milyen hatást gyakoroltak a 2020-2023 közötti időszak turbulens válságjelenségei, kiemelten az energiaárak inflációjára. Mivel mindkét metódus bár eltérő mértékben, de az energiaválság hatására ugyanazon, energetikában érdekelt társaság részvényeinek portfólióban betöltött súlyát növelte meg szignifikánsan, így kijelenthető, hogy a diverzifikált portfólió összetételének változása visszatükrözte a makrogazdasági körülmények részvénypiacra gyakorolt hatásait.

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Ownership Structure and Performance of Companies: Exploratory Study via a Systematic Review of the Literature

KOUIRI

Agouram

Kadouri

2021

International Journal of Social Sciences Perspectives

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This article aims to understand the general context of research on the impact of ownership structure and performance of firms through a systematic review of references that include the keywords "ownership structure" and "performance" in their titles and that are published in English between 1990 and June 2020. For this purpose, we used articles published in journals indexed in the Scopus database. The uploaded articles are organized by the Mendeley Desktop tool and then transferred to the NVivo10 tool, in order to make a textual analysis of the elements contained in the articles. Data concerning the article, the characteristics of the study population, were collected. Our initial bibliographic search covered 229 articles published in 141 journals registered in more than 30 databases. It was found that the journals have published on this subject belongs to several disciplines related to governance, finance, and management and that they come from Anglo-Saxon countries. Our work can be considered as a support in the study of the scientific literature review related to ownership structure and performance.

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Mean-gini and mean-extended gini portfolio selection: An empirical analysis

Cited by 3 publications

References 14 publications

An Empirical Comparison of Different Two-Factor Models in the Context of Portfolio Optimisation

An Empirical Comparison of Different Two-Factor Models in the Context of Portfolio Optimisation

Az energiaválság optimális részvénybefektetői döntésekre gyakorolt hatása

Ownership Structure and Performance of Companies: Exploratory Study via a Systematic Review of the Literature

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