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Identifying The Set Of Ssd-Efficient Mixtures Of Risky Alternatives

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  • McCamley, Francis P.
  • Kliebenstein, James B.

Abstract

Target MOTAD and other direct utility-maximization models provide one way of computing SSD-efficient mixtures. These models are appropriate when the utility function is known and can also be used to identify part of the set of SSD-efficient mixtures even when the utility function is not known. However, they do not always identify all SSD-efficient mixtures. A grid method was proposed by Bawa, Lindenberg, and Rafsky. A third approach, which extends the work of Dybvig and Ross, is presented here. It is illustrated by applying it to data from Anderson, Dillon, and Hardaker.

Suggested Citation

  • McCamley, Francis P. & Kliebenstein, James B., 1987. "Identifying The Set Of Ssd-Efficient Mixtures Of Risky Alternatives," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(01), pages 1-9, July.
    • Handle: RePEc:ags:wjagec:32468
    DOI: 10.22004/ag.econ.32468
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    1. repec:ags:agsaem:288652 is not listed on IDEAS
    2. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
    3. David K. Lambert & Bruce A. McCarl, 1985. "Risk Modeling Using Direct Solution of Nonlinear Approximations of the Utility Function," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(4), pages 846-852.
    4. Cochran, Mark J., 1986. "Stochastic Dominance: The State Of The Art In Agricultural Economics," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271995, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    5. Bruce A. McCarl & Thomas O. Knight & James R. Wilson & James B. Hastie, 1987. "Stochastic Dominance over Potential Portfolios: Caution Regarding Covariance," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(4), pages 804-812.
    6. Hadar, Josef & Russell, William R., 1974. "Diversification of interdependent prospects," Journal of Economic Theory, Elsevier, vol. 7(3), pages 231-240, March.
    7. McCamley, F. P. & Kliebenstein, James, 1987. "Identifying the Set of Ssd Efficient Mixtures of Risky Alternatives," Staff General Research Papers Archive 10626, Iowa State University, Department of Economics.
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    1. McCamley, Francis, "undated". "Approximating A Gsd-Efficient Set Of Mixtures Of Risky Alternatives For Risk Averse Decision Makers," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270301, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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