On the General Deviation Measure and the Gini coefficient

Research output: Contribution to journalArticlepeer-review


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 languageEnglish
Pages (from-to)599-610
Number of pages12
JournalInternational Journal of Economic Theory
Issue number3
StatePublished - 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.


  • Axiomatic Risk Measure
  • Coherent Risk Measure
  • General Deviation Measure
  • Gini coefficient

ASJC Scopus subject areas

  • Economics and Econometrics


Dive into the research topics of 'On the General Deviation Measure and the Gini coefficient'. Together they form a unique fingerprint.

Cite this