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Stochastic efficiency analysis with risk aversion bounds: a simplified approach

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Author Info
J. Brian Hardaker
James W. Richardson
Gudbrand Lien
Keith D. Schumann

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Abstract

A method of stochastic dominance analysis with respect to a function (SDRF) is described and illustrated. The method, called stochastic efficiency with respect to a function (SERF), orders a set of risky alternatives in terms of certainty equivalents for a specified range of attitudes to risk. It can be applied for conforming utility functions with risk attitudes defined by corresponding ranges of absolute, relative or partial risk aversion coefficients. Unlike conventional SDRF, SERF involves comparing each alternative with all the other alternatives simultaneously, not pairwise, and hence can produce a smaller efficient set than that found by simple pairwise SDRF over the same range of risk attitudes. Moreover, the method can be implemented in a simple spreadsheet with no special software needed. Copyright 2004 Australian Agricultural and Resource Economics Society Inc. and Blackwell Publishing Asia Pty Ltd..

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Publisher Info
Article provided by Australian Agricultural and Resource Economics Society and Blackwell Publishing Asia Pty Ltd. in its journal Australian Journal of Agricultural & Resource Economics.

Volume (Year): 48 (2004)
Issue (Month): 2 (06)
Pages: 253-270
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Handle: RePEc:bla:ajarec:v:48:y:2004:i:2:p:253-270

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  2. Schumann, Keith D. & Richardson, James W. & Lien, Gudbrand & Hardaker, J. Brian, 2004. "Stochastic Efficiency Analysis Using Multiple Utility Functions," 2004 Annual meeting, August 1-4, Denver, CO 19957, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  3. Gustafson, Cole R. & Wilson, William W. & Dahl, Bruce L., 2006. "Production Risk And Crop Insurance In Malting Barley: A Stochastic Dominance Analysis," 2006 Annual meeting, July 23-26, Long Beach, CA 21095, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  4. Brummett, Robert G. & Richardson, James W., 2008. "Risk, Research, and Returns: Valuation of the Potential of Improved Citrus Cultivars," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6759, Southern Agricultural Economics Association. [Downloadable!]
  5. Wilson, William W. & Dahl, Bruce L. & Maxwell, Brett J., 2007. "Grower Response to Contracts and Risk in Genetically Modified (GM) Crops," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 32(01), April. [Downloadable!]
  6. Archer, David W. & Kludze, Hillarius, 2006. "Transition to Organic Cropping Systems under Risk," 2006 Annual meeting, July 23-26, Long Beach, CA 21278, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  7. Taylor, Karen W. & Epplin, Francis M. & Peel, Derrell S., 2006. "Risk Efficient Strategies for Using Winter Wheat Pasture," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35393, Southern Agricultural Economics Association. [Downloadable!]
  8. Watkins, K. Bradley & Hignight, Jeffrey A. & Anders, Merle M., 2009. "Assessing the Impacts of Soil Carbon Credits and Risk on No-Till Rice Profitability," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 45806, Southern Agricultural Economics Association. [Downloadable!]
  9. Fumasi, Roland J. & Klose, Steven L. & Kaase, Greg H. & Richardson, James W. & Outlaw, Joe L., 2008. "Viability of cellulosic feedstock production from producer to biorefinery," Transition to a Bio Economy Conferences, Integration of Agricultural and Energy Systems Conference, February 12-13, 2008, Atlanta, Georgia 48716, Farm Foundation. [Downloadable!]
  10. Flaten, Ola & Lien, Gudbrand, 2005. "Stochastic Utility-Efficient Programming of Organic Dairy Farms," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24743, European Association of Agricultural Economists. [Downloadable!]
  11. Watkins, K. Bradley & Hill, Jason L. & Anders, Merle M., 2008. "An Economic Risk Analysis of No-Till Rice Management from the Landlord’s Perspective," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6870, Southern Agricultural Economics Association. [Downloadable!]
  12. Tzouramani, Irene & Karanikolas, Pavlos & Alexopoulos, George & Sintori, Alexandra & Liontakis, Angelos, 2008. "Modelling Economic Alternatives For Tobacco Producers: The Case Of Sheep Farming," 107th Seminar, January 30-February 1, 2008, Sevilla, Spain 6695, European Association of Agricultural Economists. [Downloadable!]
  13. Outlaw, Joe L. & Richardson, James W. & Fumasi, Roland J., 2006. "Lifting the Fruit and Vegetable Cropping Restriction: Potential Impacts on Cropping Preference in the Lower Rio Grande Valley, Texas," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35373, Southern Agricultural Economics Association. [Downloadable!]
  14. Morris, Brittany D. & Richardson, James W. & Frosch, Brian J. & Outlaw, Joe L. & Rooney, William L., 2009. "Economic Feasibility of Ethanol Production from Sweet Sorghum Juice in Texas," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46852, Southern Agricultural Economics Association. [Downloadable!]
  15. Richardson, James W. & Lemmer, Wessel J. & Outlaw, Joe L., 2007. "Bio-ethanol Production from Wheat in the Winter Rainfall Region of South Africa: A Quantitative Risk Analysis," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association (IAMA), vol. 10(02). [Downloadable!]
  16. Tzouramani, Irene & Karanikolas, Pavlos & Alexopoulos, George, 2008. "Risk and Income Risk Management Issues for Organic Crops in Greece," 108th Seminar, February 8-9, 2008, Warsaw, Poland 48116, European Association of Agricultural Economists. [Downloadable!]
  17. Williams, Jeffery R. & Llewelyn, Richard V. & Pendell, Dustin L. & Schlegel, Alan & Troy, Dumler, 2009. "A Risk Analysis of Converting CRP Acres to a Wheat-Sorghum-Fallow Rotation," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 45985, Southern Agricultural Economics Association. [Downloadable!]
  18. Richardson, James W. & Outlaw, Joe L. & Raulston, J. Marc & Knapek, George M., 2005. "Impacts of Budget Reconciliation on U.S. Crop Producers," 2005 Annual meeting, July 24-27, Providence, RI 19540, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  19. Elrod, Christopher P. & Robinson, John R.C. & Richardson, James W., 2008. "Simulation of Alternative Marketing Strategies for U.S. Cotton," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6885, Southern Agricultural Economics Association. [Downloadable!]
  20. Clancy, D. & Breen, J. & Butler, A.M. & Thorne, F. & Wallace, M., 2008. "Valuing the risk associated with willow and miscanthus relative to conventional agricultural systems," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 43972, European Association of Agricultural Economists. [Downloadable!]
  21. Donnelly, Kallie & Noel, Jay E., 2006. "Optimal Market Contracting in the California Lettuce Industry," 2006 Annual meeting, July 23-26, Long Beach, CA 21461, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  22. Lau, Michael H. & Richardson, James W. & Outlaw, Joe L. & Fuller, Stephen W. & Nixon, Clair J. & Herbst, Brian K., 2004. "Location Of A Mixalco Production Facility With Respect To Economic Viability," 2004 Annual meeting, August 1-4, Denver, CO 20025, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  23. Lelyon, Baptiste & Chatellier, Vincent & Daniel, Karine, 2008. "Milk Quotas Abolishment And Simplification Of The Single Payment Scheme: Implications On Dairy Farmers’ Productive Strategy In The West Of France," 109th Seminar, November 20-21, 2008, Viterbo, Italy 44795, European Association of Agricultural Economists. [Downloadable!]
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