Portfolio Selection Under Exponential And Quadratic Utility
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.
Volume (Year): 07 (1982)
Issue (Month): 01 (July)
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- 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 181-189, April.
- Kallberg, J. G. & Ziemba, W. T., 1979. "On the robustness of the Arrow-Pratt risk aversion measure," Economics Letters, Elsevier, vol. 2(1), pages 21-26.
- Anderson, Jock R. & Feder, Gershon, 2007. "Agricultural Extension," Handbook of Agricultural Economics, Elsevier.
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