I am writing a paper on the use of the Lorenz curve in risk analysis. I have 3 uses for justifying the Lorenz curve:1. Stochastic dominance SSD2. Mean-Gini and mean-extended Gini portfolio optimization3. Conditional VaR to be use with Basel IIPlease discuss the issues with me. I need more uses.I need more info to link the Lorenz with the AUmann-Serano measure of riskiness. Please helpSee More
Very impressing analysis. But you need to be sure that you have a martingale series of errors terms, i.e., that you have cleaned up all seasonality factors from the series before you Garch it. I will try your series in eviews to see if the…"