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Favre, L., & Galeano, J. A. (2002). Mean-Modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investments, 5, 2-21.
http://dx.doi.org/10.3905/jai.2002.319052

has been cited by the following article:

• TITLE: A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR

  AUTHORS: Jamal Agouram, Ghizlane Lakhnati

  KEYWORDS: Conditional Value-at-Risk, Mean-Gini, Mean-Variance, Portfolio Selection, Value-at-Risk

  JOURNAL NAME: Journal of Financial Risk Management, Vol.4 No.2, May 25, 2015

  ABSTRACT: This paper focuses on two methods for optimum market portfolio selection. We compare the Mean-Variance method with the Mean-Gini method using MADEX data from turbulent market periods in 2011, 2012 and 2013. We compare both strategies with reference to value at-risk (VaR) and conditional value-at-risk (CVaR) measures during periods of financial crisis. The results show that both strategies are profitable for investors. We consider the Mean-Gini strategy to be the more secure strategy during periods of market instability.