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Developments in portfolio management and risk programming techniques for agriculture

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Author Info

  • Calum G. Turvey
  • Cesar L. Escalante
  • William Nganje

Abstract

This paper reviews various optimization approaches used to address a variety of issues related to risk in agricultural finance and farm management. The central focus is in the Markowitz mean-variance model, which represents the classical approach to balancing risk and returns in an optimization framework. We also review other models that have been used historically to solve linearizations of the mean-variance problem including MOTAD and target MOTAD. Specialized optimization models such as Target semivariance and direct expected utility maximization are also discussed.

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Agricultural Finance Review.

Volume (Year): 65 (2005)
Issue (Month): 2 (July)
Pages: 219-245

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Handle: RePEc:eme:afrpps:v:65:y:2005:i:2:p:219-245

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Related research

Keywords: Direct expected utility maximization; MOTAD; Quadratic programming; Risk programming; Semivariance;

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Cited by:
  1. Buchholz, Matthias & Musshoff, Oliver, 2014. "The role of weather derivatives and portfolio effects in agricultural water management," 2014 Conference (58th), February 4-7, 2014, Port Maquarie, Australia 165812, Australian Agricultural and Resource Economics Society.

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