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We propose a dynamic portfolio rebalancing approach within the mean-risk framework, in which the riskaversion coefficient is adjusted according to market trend information captured by a technical indicator. We employ Gini's Mean Difference as the risk measure and the moving average as the technical indicator. We conduct a thorough empirical evaluation with a rolling horizon approach using the S&P...
We study an extended set of Mean-Gini portfolio optimization models that encompasses a general version of the mean-risk formulation, the Minimal Gini model (MinG) that minimizes Gini’s Mean Differences, and the new risk-adjusted Mean-Gini Ratio (MGR) model. We analyze the properties of the various models, prove that a performance measure based on a Risk Adjusted version of the Mean Gini Ratio (RAMGR...
We propose models to investigate effectiveness–equity tradeoffs in tree network facility location problems. We use the commonly used median objective as a measure of effectiveness, and the Gini index as a measure of (in)equity, and formulate bicriteria problems involving these objectives. We develop procedures to identify an efficient set of solutions to these problems, analyze the complexity of the...
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