skfolio.measures.gini_mean_difference#
- skfolio.measures.gini_mean_difference(returns)[source]#
Compute the Gini mean difference (GMD).
The GMD is the expected absolute difference between two realisations. The GMD is a superior measure of variability for non-normal distribution than the variance. It can be used to form necessary conditions for second-degree stochastic dominance, while the variance cannot.
- Parameters:
- returnsndarray of shape (n_observations,)
Vector of returns.
- Returns:
- valuefloat
Gini mean difference.