Since Shalit and Yitzhaki (1984), the Mean-Extended Gini (MEG) has been proposed as a workable alternative to the Markowitz mean-variance approach. The challenge is to extend the MEG approach to making customized optimal asset allocation to control down-performance and/or up-performance.
Personalized Mean-Extended Gini portfolios
TIBILETTI, Luisa
2013-01-01
Abstract
Since Shalit and Yitzhaki (1984), the Mean-Extended Gini (MEG) has been proposed as a workable alternative to the Markowitz mean-variance approach. The challenge is to extend the MEG approach to making customized optimal asset allocation to control down-performance and/or up-performance.
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