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Modelling Optimal Grain-Marketing Decisions When Prices Are Generated Autoregressively

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  • Blakeslee, Leroy
  • Lone, Todd A

Abstract

A model is developed to find decision rules that maximise expected utility of income from selling stored wheat when future price expectations are updated weekly using newly observed prices. Expected utility is approximated in terms of six moments of the income distribution, and efficient procedures are developed to calculate moments. Marketing losses that arise when the autoregressive structure of wheat prices is ignored are estimated. Losses were found to be equivalent to reductions of 1.9-14.5% in expected income, depending on initial prices and risk aversion. Copyright 1995 by Oxford University Press.

Suggested Citation

  • Blakeslee, Leroy & Lone, Todd A, 1995. "Modelling Optimal Grain-Marketing Decisions When Prices Are Generated Autoregressively," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 22(1), pages 87-102.
    • Handle: RePEc:oup:erevae:v:22:y:1995:i:1:p:87-102
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    Cited by:

    1. Potts, Franziska & Loy, Jens-Peter, 2018. "Getreidevermarktung In Norddeutschland," 58th Annual Conference, Kiel, Germany, September 12-14, 2018 275863, German Association of Agricultural Economists (GEWISOLA).
    2. Jens‐Peter Loy & Thore Holm & Carsten Steinhagen & Thomas Glauben, 2015. "Seasonal Quality Premiums for Wheat: A Case Study for Northern Germany," Agribusiness, John Wiley & Sons, Ltd., vol. 31(1), pages 63-75, January.
    3. Loy, Jens-Peter & Pieniadz, Agata, 2009. "Optimal Grain Marketing Revisited: A German and Polish Perspective," 2009 Conference, August 16-22, 2009, Beijing, China 51058, International Association of Agricultural Economists.

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