Abstract
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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.