Portfolio selection based on Extended Gini Shortfall risk measures

Ben Hssain Lhoucine (), Berkhouch Mohammed () and Lakhnati Ghizlane ()
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Ben Hssain Lhoucine: LISAD, ENSA, Ibn Zohr University, Agadir, Morocco
Berkhouch Mohammed: LISAD, ENSA, Ibn Zohr University, Agadir, Morocco
Lakhnati Ghizlane: LISAD, ENSA, Ibn Zohr University, Agadir, Morocco

Statistics & Risk Modeling, 2024, vol. 41, issue 1-2, 27-48

Abstract: In this paper, we conducted a comprehensive examination of the Extended Gini Shortfall (EGS) as a flexible risk measure for portfolio selection, employing various approaches. The EGS measure possesses desirable properties, such as coherence, risk and variability measurement, and risk aversion. Additionally, we introduced the Reward Risk Ratio induced from EGS and explored its associated properties. Our main focus centered on a convex optimization problem, where the objective was to minimize portfolio risk while adhering to reward and budget constraints. We demonstrated the effectiveness of the obtained theoretical results through a practical application.

Keywords: Risk measures; variability measures; spectral Gini shortfall; portfolio optimization (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/strm-2023-0001

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