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Generalized Stochastic Dominance: An Empirical Examination

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  • McCarl, Bruce A.

Abstract

Use of generalized stochastic dominance (GSD) requires one to place lower and upper bounds on the risk aversion coefficient. This study showed that breakeven risk aversion coefficients found assuming the exponential utility function delineate the places where GSD preferences switch between prospects. However, between these break points, multiple, overlapping GSD intervals can be found. Consequently, when one does not have risk aversion coefficient information, discovery of breakeven coefficients instead of GSD use is recommended. The investigation also showed GSD results are insensitive to wealth and data scaling but are sensitive to rounding.

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Bibliographic Info

Article provided by Southern Agricultural Economics Association in its journal Southern Journal of Agricultural Economics.

Volume (Year): 22 (1990)
Issue (Month): 02 (December)
Pages:

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Handle: RePEc:ags:sojoae:30005

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Keywords: Research Methods/ Statistical Methods;

References

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  1. McCarl, Bruce A., 1988. "Preference Among Risky Prospects Under Constant Risk Aversion," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(02), December.
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Cited by:
  1. McCarl, Bruce A., 1988. "Preference Among Risky Prospects Under Constant Risk Aversion," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(02), December.
  2. Johnson, C. Scott & Foster, Kenneth A., 1994. "Risk Preferences And Contracting In The U.S. Hog Industry," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 26(02), December.
  3. Dias, Weeratilake & Helmers, Glenn A. & Eghball, Bahman, 1999. "Economic And Environmental Risk Efficiency Analysis Of Land Application Of Cattle Feedlot Manure: Generalized Stochastic Dominance Analysis," 1999 Annual Meeting, July 11-14, 1999, Fargo, ND 35715, Western Agricultural Economics Association.
  4. Mullen, John D., 2001. "An Economic Persective On Land Degradation Issues," Research Reports 27999, New South Wales Department of Primary Industries Research Economists.
  5. Rodriguez, Hector German & Popp, Jennie & Gbur, Edward & Chaubey, Indrajeet, 2011. "Environmental and economic impacts of reducing total phosphorous runoff in an agricultural watershed," Agricultural Systems, Elsevier, vol. 104(8), pages 623-633, October.
  6. Maynard, Leigh J. & Harper, Jayson K. & Hoffman, Lynn D., 1997. "Impact Of Risk Preferences On Crop Rotation Choice," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 26(1), April.
  7. Scott, J. Fiona & Farquharson, Robert J., 2002. "Finding a win-win situation for salinity on the Liverpool Plains," 2002 Conference (46th), February 13-15, 2002, Canberra 125162, Australian Agricultural and Resource Economics Society.
  8. Baker, Timothy G. & Gloy, Brent A., 2001. "The Importance Of Financial Leverage And Risk Aversion In Risk Management Strategy Selection," Proceedings: 2001 Regional Committee NC-221, October 1-2, 2001, McLean, Virginia 132391, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
  9. Giesler, G. Grant & Paxton, Kenneth W. & Millhollon, E.P., 1993. "A Gsd Estimation Of The Relative Worth Of Cover Crops In Cotton Production Systems," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(01), July.
  10. J. Brian Hardaker & James W. Richardson & Gudbrand Lien & Keith D. Schumann, 2004. "Stochastic efficiency analysis with risk aversion bounds: a simplified approach," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 48(2), pages 253-270, 06.
  11. Upadhyay, Bharat Mani & Smith, Elwin G. & Clayton, George & Harker, Neil, 2004. "Risk Efficiency Of Alternate Canola Management Decisions," NAREA-CAES Conference, June 20-23, 2004, Halifax, Nova Scotia 34193, Canadian Agricultural Economics Society;Northeastern Agricultural and Resource Economics Association.
  12. Larson, James A. & Roberts, Roland K. & Tyler, Donald D. & Duck, Bob N. & Slinsky, Stephen P., 1998. "Nitrogen-Fixing Winter Cover Crops And Production Risk: A Case Study For No-Tillage Corn," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 30(01), July.
  13. Maxwell, Brett J. & Wilson, William W. & Dahl, Bruce L., 2004. "Marketing Mechanisms In Gm Grains And Oilseeds," Agribusiness & Applied Economics Report 23639, North Dakota State University, Department of Agribusiness and Applied Economics.
  14. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors’ Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
  15. Hardaker, J. Brian & Lien, Gudbrand D., 2003. "Stochastic Efficiency Analysis With Risk Aversion Bounds: A Simplified Approach," Working Papers 12954, University of New England, School of Economics.
  16. Ritchie, John W. & Abawi, G. Yahya & Dutta, Sunil C. & Harris, Trevor R. & Bange, Michael, 2004. "Risk management strategies using seasonal climate forecasting in irrigated cotton production: a tale of stochastic dominance," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 48(1), March.

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