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On the General Deviation Measure and the Gini coefficient

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  • Doron Nisani

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.

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  • Doron Nisani, 2023. "On the General Deviation Measure and the Gini coefficient," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 599-610, September.
    • Handle: RePEc:bla:ijethy:v:19:y:2023:i:3:p:599-610
    DOI: 10.1111/ijet.12370
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    References listed on IDEAS

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    15. Doron Nisani & Mahmoud Qadan & Amit Shelef, 2022. "Risk and Uncertainty at the Outbreak of the COVID-19 Pandemic," Sustainability, MDPI, vol. 14(14), pages 1-12, July.
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    1. Nisani, Doron & Shelef, Amit & Sonenshine, Ralph & David, Or, 2024. "The mutual funds puzzle and the elusive von Neumann-Morgenstern preference relation," International Review of Financial Analysis, Elsevier, vol. 92(C).

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