- Author
- Gluzicka Agata (Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach)
- Title
- Zastosowanie rozszerzonego współczynnika Giniego jako miernika ryzyka do wyznaczania portfela akcji
Application of the Extended Gini's Mean as a Risk Measure in Determining a Shares Portfolio - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2007, nr 1167, s. 75-83, rys., bibliogr. 9 poz.
- Issue title
- Współczesne tendencje rozwojowe badań operacyjnych
- Keyword
- Współczynnik Giniego, Analiza ryzyka, Ryzyko inwestycyjne
Gini coefficient, Risk analysis, Investment risk - Note
- summ.
- Abstract
- W artykule wprowadzone zostaną definicje średniej różnicy Giniego oraz rozszerzonego współczynnika Giniego. Omówione zostaną podstawowe własności rozszerzonego współczynnika Giniego. W końcowej części pracy zostanie przedstawiony przykład zastosowania rozszerzonego współczynnika Giniego do analizy ryzyka inwestycyjnego dla danych z GPW w Warszawie. (fragment tekstu)
In the traditional Markowitz's approach to determining optimal portfolio, a variance (or the standard deviation) is being accepted as the measure of risk. Beside the variance, there exist many different quantities which are applied as the risk measures. One of such measures was proposed by Yitzhaki, who used Gini's mean difference as a risk measure. Yitzhaki is also the author of the model, in which the risk is measured by the so-called extended Gini's mean. This coefficient is a modification of the Gini's mean difference, which considers the level of risk aversion. In this paper the author will show more significant properties of the extended Gini's mean. This measure will be applied in determining optimal portfolios for companies listed on the Warsaw Stock Exchange. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Bibliography
-
- Dorfman R., A Formula for the Gini Coefficient, "The Review of Economics and Statistics" 1979 (February), s. 146-149.
- Gluzicka A., Kopańska-Bródka D., Applications of Gini 's Mean Difference to Portfolio Analysis, Proceedings of the 23rd International Conference "Mathematical Methods in Economics", Hradec Kralove, Czech Republic 2005.
- Ogryczak W., Modele programowania liniowego w optymalizacji portfela inwestycji", [w:] Modelowanie preferencji a ryzyko '03", praca zbiorowa pod red. T. Trzaskalik, AE, Katowice 2003.
- Ogryczak W., Mansini R., Speranza G., Conditional Value at Risk and Related Linear Programming Models for Portfolio Optimization, Report of the Institute of Control and Computation Engineering, Warsaw University of Technology 2004.
- Okunev J., The Generation of Mean Gini Efficient Sets, "Journal of Business Finance and Accounting" 1991 (January), s. 209-218.
- Shaffer D., Estimating the Gini Hedge Ratio, "Managerial Finance" 2003 vol. 29, s. 73-84.
- Shalit H., Yitzhaki S., The Mean-Gini Efficient Portfolio Frontier, "The Journal of Financial Research" (2005) vol. 28, s. 59-75.
- Shalit H., Yitzhaki S., Mean-Gini, Portfolio Theory and the Pricing of Risky Assets, "The Journal of Finance" 1984 (December) vol. 39, s. 1449-1468.
- Yitzhaki S., Stochastic Dominance, Mean Variance and Gini s Mean Difference, "The American Economic Review" 1982 (March) vol. 72, s. 178-185.
- Cited by
- ISSN
- 0324-8445
- Language
- pol
