PORTFOLIO RISK MANAGEMENT USING THE LORENZ CURVE

Haim Shalit

No 1011, Working Papers from Ben-Gurion University of the Negev, Department of Economics

Abstract: This paper compiles the risk measures associated with the Lorenz curve. The Lorenz curve is the main tool in economics for measuring income distribution and inequality. For the past decades some of the Lorenz curve spin-offs have been used in risk analysis and finance. In particular, the Lorenz curve addresses the concepts of second degree stochastic dominance, Gini’s mean difference, Conditional Value-at-Risk, and the extended Gini in portfolio theory and in investment practice. Because the Lorenz curve can be estimated from asset returns, the risk measures are easy to implement and use.

JEL-codes: D81 G11 G32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bgu:wpaper:1011

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