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This paper evaluates the empirical properties of the mean-Gini (MG) and the mean-extended Gini (MEG) efficient sets by comparing their performance to the mean-variance (MV) portfolio selection. The analysis focuses on the similarities and differences existing between the MV, the MG, and the various MEG efficient sets. In addition, the risk parameter for which the MEG efficient set is best supported by the market data is estimated. The analysis is carried out with respect to the Tel-Aviv Stock Exchange to present empirically a new approach to portfolio selection.


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