MEAN-VARIANCE VERSUS MEAN–EXPECTED SHORTFALL MODELS: AN APPLICATION TO WHEAT VARIETY SELECTION
| Autor: | Kunlapath Sukcharoen, David J. Leatham |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
Multivariate statistics Actuarial science 010504 meteorology & atmospheric sciences business.industry Risk measure 05 social sciences Diversification (finance) Downside risk Variance (accounting) 01 natural sciences Agricultural and Biological Sciences (miscellaneous) Expected shortfall 0502 economics and business Statistics Economics 050202 agricultural economics & policy business Modern portfolio theory Risk management 0105 earth and related environmental sciences |
| Zdroj: | Journal of Agricultural and Applied Economics. 48:148-172 |
| ISSN: | 2056-7405 1074-0708 |
| DOI: | 10.1017/aae.2016.8 |
| Popis: | One of the most popular risk management strategies for wheat producers is varietal diversification. Previous studies proposed a mean-variance model as a tool to optimally select wheat varieties. However, this study suggests that the mean–expected shortfall (ES) model (which is based on a downside risk measure) may be a better tool because variance is not a correct risk measure when the distribution of wheat variety yields is multivariate nonnormal. Results based on data from Texas Blacklands confirm our conjecture that the mean-ES framework performs better in term of selecting wheat varieties than the mean-variance method. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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