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Portfolio Selection Under Exponential And Quadratic Utility

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  • Buccola, Steven T.
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    Abstract

    The production or marketing portfolio that is optimal under the assumption of quadratic utility may or may not be optimal under the assumption of exponential utility. In certain cases, the necessary and sufficient condition for an identical solution is that absolute risk aversion coefficients associated with the two utility functions be the same. In other cases, equality of risk aversion coefficients is a sufficient condition only. A comparison is made between use of exponential and quadratic utility in the analysis of a California farmerÂ’s marketing problem.

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    File URL: http://purl.umn.edu/32418
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    Bibliographic Info

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

    Volume (Year): 07 (1982)
    Issue (Month): 01 (July)
    Pages:

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    Handle: RePEc:ags:wjagec:32418

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    Web page: http://waeaonline.org/
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    Related research

    Keywords: Marketing;

    References

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    1. Hanoch, Giora & Levy, Haim, 1970. "Efficient Portfolio Selection with Quadratic and Cubic Utility," The Journal of Business, University of Chicago Press, vol. 43(2), pages 181-89, April.
    2. Anderson, Jock R. & Feder, Gershon, 2007. "Agricultural Extension," Handbook of Agricultural Economics, Elsevier.
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    Cited by:
    1. Zuhair, Sugu M. M. & Taylor, Daniel B. & Kramer, Randall A., 1992. "Choice of utility function form: its effect on classification of risk preferences and the prediction of farmer decisions," Agricultural Economics, Blackwell, vol. 6(4), pages 333-344, April.
    2. Feinerman, Eli & Shani, Y. & Bresler, E., 1989. "Economic Optimisation Of Sprinkler Irrigation Considering Uncertainty Of Spatial Water Distribution," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 33(02), August.

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