Portfolio selection based on extended Gini shortfall risk measures (Q6139263): Difference between revisions

The paper deals with a mean-risk model which is a generalization of the well-known Markowitz mean-variance model. The authors choose as a risk measure, a modified expected shortfall, the so called spectral Gini shortfall (SGS). SGS is a spectral risk measure \[ \mathrm{SGS}(X)= - \int_0^p \varphi(u) F_X^{-1}(u) du, \;\; p \in (0,1), \] where the spectrum \(\varphi\) is polynomial-like \[ \varphi(u) = C_1 (1-u)^{r-1} + C_2 , \;\; r>1. \] The degree \(r\) represents the level of the risk aversion.