Mean‐Gini, Portfolio Theory, and the Pricing of Risky Assets
提出均值-基尼方法分析风险前景并构建最优投资组合，该方法兼具均值-方差模型的简洁性和随机占优效率的主要特征，并应用于资本市场推导证券估值定理。
ABSTRACT This paper presents the mean‐Gini (MG) approach to analyze risky prospects and construct optimum portfolios. The proposed method has the simplicity of a mean‐variance model and the main features of stochastic dominance efficiency. Since mean‐Gini is consistent with investor behavior under uncertainty for a wide class of probability distributions, Gini's mean difference is shown to be more adequate than the variance for evaluating the variability of a prospect. The MG approach is then applied to capital markets and the security valuation theorem is derived as a general relationship between average return and risk. This is further extended to include a degree of risk aversion that can be estimated from capital market data. The analysis is concluded with the concentration ratio to allow for the classification of different securities with respect to their relative riskiness.