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An Empirical Examination of the Expected Value - Variance Criterion Subject to a Sparse Constraint Set

Author

Listed:
  • Reid, Donald W.
  • Tew, Bernard V.

Abstract

The theoretical difficulties of the mean-variance (E-V) criterion are well known. A number of recent research efforts have tested the criterion's effectiveness in a publicly traded securities environment. This research explores the performance of the E-V criterion using agricultural investment opportunities. Results of this study indicate that the mean-variance criterion performs well in selecting activities which maximize expected utility. These results are consistent with results of earlier research dealing with tradeable securities.

Suggested Citation

  • Reid, Donald W. & Tew, Bernard V., 1986. "An Empirical Examination of the Expected Value - Variance Criterion Subject to a Sparse Constraint Set," 1986 Annual Meeting, July 27-30, Reno, Nevada 278151, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea86:278151
    DOI: 10.22004/ag.econ.278151
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