Gini's Mean Difference and Portfolio Selection: An Empirical Evaluation
实证评估了Yitzhaki提出的基于均值与基尼均值差的两种投资组合选择标准（EG和EI“），比较其与均值方差及随机占优等标准的实证有效集关系，为金融从业者提供选择依据。
Yitzhaki [19] recently developed two portfolio selection criteria (EG and EI“) based on the mean and Gini's mean difference. Similar to mean-variance(EV), the EG criterion uses two summary statistics to describe the probability distribution of a risky prospect, the mean and one-half Gini's mean difference. Gini's mean difference is defined as the average of the absolute differences between all possible pairs of observations of a random variable. Yitzhaki's development concentrated on the theoretical aspects of EG and EI“ and the theoretical relationships among EG, EI“, EV, and stochastic dominance (SD) selection criteria. He did not address either the empirical properties of EG and EI“ or the relationship between the empirical efficient sets of EG and EI“ and other portfolio selection criteria. Yitzhaki suggested that the next step in the development and application of his proposed selection criteria should be an empirical investigation of how the EG and EI“ criteria compare with other selection criteria.