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Risk and return are the important parameters in the investment. The investors wish to find the trade-off between the risk and return. Investors will be exposed to the risk of loss in their investment. The Mean-Gini model is a mathematical model has been introduced in portfolio optimization to minimize the portfolio risk at the target rate of return by using Gini as risk measure. The objective function of the Mean-Gini model is to minimize the portfolio risk at the expected rate of return. The expected rate of return is measured by the mean return of the portfolio. The objective of this paper is to construct an optimal portfolio in the investment by employing the Mean-Gini model. The data of this study consists of stocks that listed in Malaysian stock market. The results of this study show that the investors can minimize the portfolio risk and able to achieve the target rate of return with the Mean-Gini model. Besides that, the composition of the stocks is different in the optimal portfolio. This study is significant because it will help investors in the investment decision analysis in order to minimize the risk.
Siew et al. (Mon,) studied this question.