Journal of
Economics and International Finance

  • Abbreviation: J. Econ. Int. Finance
  • Language: English
  • ISSN: 2006-9812
  • DOI: 10.5897/JEIF
  • Start Year: 2009
  • Published Articles: 363

Full Length Research Paper

Mean-Gini portfolio selection: Forecasting VaR using GARCH models in Moroccan financial market

Jamal Agouram
  • Jamal Agouram
  • National School of Applied Sciences (ENSA), Agadir S/33, Morocco.
  • Google Scholar
Ghizlane Lakhnati
  • Ghizlane Lakhnati
  • National School of Applied Sciences (ENSA), Agadir S/33, Morocco.
  • Google Scholar


  •  Received: 03 December 2014
  •  Accepted: 26 February 2015
  •  Published: 31 March 2015

References

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Hartzet C (2006)."Accurate Value-at-Risk forecasting based on the normal-GARCH model," Computational Statistics and Data Analysis, 51:2295-2312.
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Markowitz H (1952)."Porfolio selection," J Financ., 7:77-91.
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Markowitz H (1952). "The Utility of Wealth," The J Polit. Econ. (Cowles Foundation Paper 57) LX (2): 151-158

 

Markowitz H (1959). "Portfolio Selection: Efficient Diversification of Investments, " Wiley,New York,

 

Shalit H, Yitzhaki S (1984)."Mean-Gini, Portfolio Theory, and the Pricing of Risky Asset," J Financ., 39: 1449-1468.
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Shalit H, Yitzhaki S (2005)."The Mean-Gini Efficient Portfolio Frontier," J Financ. Res., 28:59-75.
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Yitzhaki S (1982). "Stochastic dominance, Mean-Variance, and Gini´ s Mean Difference," Am. Econ. Rev. 2:178-185.

 

Zangari P (1996). "A VaR methodology for portfolios that include options," RiskMetrics monitor, JP Morgan-Reuters, first quarter, 4-12.