Shalit and Yitzhaki presented the mean-extended Gini (MEG) as a workable alternative to the Markowitz mean-variance approach in 1984. Since then, the challenge has been to extend the MEG approach. The purpose of this paper is to propose a generalization of the MEG approach for making customized optimal asset allocation to control both down-performance and/or up-performance.
Mean-Extended Gini portfolios personalized to investor's profile
TIBILETTI, Luisa
2013-01-01
Abstract
Shalit and Yitzhaki presented the mean-extended Gini (MEG) as a workable alternative to the Markowitz mean-variance approach in 1984. Since then, the challenge has been to extend the MEG approach. The purpose of this paper is to propose a generalization of the MEG approach for making customized optimal asset allocation to control both down-performance and/or up-performance.
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