Mean-Gini portfolio selection: Forecasting VaR using GARCH models in Moroccan financial market

This paper focuses on Mean-Gini (MG) method for optimum portfolio selection. The MG framework, introduced by Shalit and Yitzhaki, is an attractive alternative as it is consistent with stochastic dominance rules regardless of the probability distributions of asset returns. Therefore, a MG framework is similar to a corresponding Mean-Variance (MV) framework in that it also uses two summary statistics-the mean and a measure of dispersion to characterize the distribution of a risky prospect. The goal of this paper is to test MG strategy, based on Moroccan financial market data from turbulent market period of the years 2011, 2012, 2013 and 2014. In addition, those outcomes are explicitly tested in terms of Value-at-risque (VaR). The results show that MG strategy is profitable for investors. Moreover, we consider MG strategy to be safer in turbulent times.   Key words: Diversification, MG, mean-variance, Morrocan financial market, portfolio selection, value-at-risk.