MEAN-GINI AND MEAN-EXTENDED GINI PORTFOLIO SELECTION: AN EMPIRICAL ANALYSIS

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Abstract

The purpose of this study was to examine Mean-Gini strategy (MG) and Mean-Extended Gini strategy (MEG) for optimum portfolio selection, in terms of the monthly Rate of Return, Standard Deviation, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. This paper compared different optimum portfolio strategies, based on Moroccan financial market data taken from turbulent market periods between the years 2007 to 2015. Two distinct sub-periods were studied: (1) crisis period: 2007-2009; (2) post-crisis period: 2010-2015. The results show that both strategies were profitable for investors, but that the MEG strategy is the more appropriate and secure strategy for an individual investor.

Keywords: Mean-Gini, Mean-Extended Gini, Portfolio Selection, Performance Measures

How to cite this paper: Agouram, J., & Lakhnati, G. (2016). Mean-gini and mean-extended gini portfolio selection: An empirical analysis. [Special issue]. Risk governance & control: financial markets & Institutions, 6(3-1), 57-64. https://doi.org/10.22495/rcgv6i3c1art7