Méthodes de décomposition de la volatilité d'un portefeuille. Une nouvelle approche d'estimation des risques par l'indice de Gini

Stéphane Mussard and Virginie Terraza

Revue d'économie politique, 2004, vol. 114, issue 4, 557-571

Abstract: Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The decomposable inequality measures allow one to gauge the inequalities within and between the populations. The Gini index is assimilated to a volatility measure in order to obtain a new ratio of financial risk. We use another measure that is the ?ValueatRisk? estimated from a heteroscedastic model with a 95 % probability. In contrast to the traditional indicators of risk, the VaR measures the potential losses included in the tail of the distribution. Then, it is possible to compare the decomposed Gini index with these standard measures of risk. The aim of this research is to establish a link between the financial risk and the class of decomposable inequality indices with an application to the French stock market.

Keywords: decomposition; Gini; value; at; risk; volatility (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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