Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets
提出均值-基尼方法分析风险资产和构建最优投资组合，该方法兼具均值-方差模型的简洁性和随机占优的效率，并推导出平均收益与风险的一般关系。
This paper presents the Mean-Gini (MG) approach to analyze risky prospects and construct optimum portfolios. The method possesses the simplicity of the mean-variance model with the efficiency of stochastic dominance. Hence, Gini's mean difference is superior to the variance for evaluating the variability Of a prospect. The analysis is further extended with the concentration ratio that permits to classify different securities with respect to their relative riskiness. 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.