One main advantage of the mean-variance (MV) portfolio frontier is its simplicity and ease of derivation. Its major shortcoming lies in its familiar restrictions, such as the quadraticity of preferences or the normality of distributions. We analytically derive the Mean-Gini (MG) efficient...

The paper looks at the rationale behind popular financial advice on portfolio allocation among cash, bonds, and stocks and proposes an additional solution to the asset allocation puzzle that claims popular advice is not consistent with financial theory (Canner, Mankiw, and Weil (1997)). We offer...

As a two-parameter model that satisfies stochastic dominance, the mean-extended Gini model is used to build efficient portfolios. The model also quantifies risk aversion heterogeneity in capital markets. Using a simple Edgeworth box framework, we show how capital market equilibrium is achieved...

One main advantage of the mean-variance (MV) portfolio frontier is its simplicity and ease of derivation. A major shortcoming, however, lies in its familiar restrictions, such as the quadraticity of preferences or the normality of distributions. As a workable alternative to MV, we present the...

This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By...

This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By...