On the General Deviation Measure and the Gini coefficient

Doron Nisani

doi:10.1111/ijet.12370

On the General Deviation Measure and the Gini coefficient

Doron Nisani

School Of Business Administration

Research output: Contribution to journal › Article › peer-review

Abstract

The General Deviation Measure introduces a progressive definition for financial risk measurement, which presents an alternative to the Coherent Risk Measure. This definition replaces the Translation Invariance and Monotonicity axioms with the Shift Invariance and Nonnegativity axioms, and it includes the Mean Absolute Deviation measure and other variations of the Value-at-Risk measurements. This research shows that Coherent Risk Measure holds an intrinsic contradiction regarding riskless assets, and it proves that the Gini coefficient is also a General Deviation Measure. These contributions improve the efficiency of risk measurement and asset pricing in the financial markets.

Original language	English
Pages (from-to)	599-610
Number of pages	12
Journal	International Journal of Economic Theory
Volume	19
Issue number	3
DOIs	https://doi.org/10.1111/ijet.12370
State	Published - Sep 2023

Bibliographical note

Publisher Copyright:
© 2023 The Authors. International Journal of Economic Theory published by John Wiley & Sons Australia, Ltd on behalf of International Association for Economic Theory.

Keywords

Axiomatic Risk Measure
Coherent Risk Measure
General Deviation Measure
Gini coefficient

ASJC Scopus subject areas

Economics and Econometrics

Access to Document

10.1111/ijet.12370

Cite this

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On the General Deviation Measure and the Gini coefficient

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this