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A Comparison Of Criteria For Evaluating Risk Management Strategies

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  • Baker, Timothy G.
  • Gloy, Brent A.

Abstract

Several criteria that produce rankings of risk management alternatives are evaluated. The criteria considered are Value at Risk, the Sharpe ratio, the necessary condition for first degree stochastic dominance with a risk free asset, and the necessary condition for second degree stochastic dominance with a risk free asset. The effectiveness of the criteria increases as decision-makers are assumed to be more risk averse and have greater access to financial leverage.

Suggested Citation

  • Baker, Timothy G. & Gloy, Brent A., 2000. "A Comparison Of Criteria For Evaluating Risk Management Strategies," 2000 Annual meeting, July 30-August 2, Tampa, FL 21726, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea00:21726
    DOI: 10.22004/ag.econ.21726
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    References listed on IDEAS

    as
    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119-119.
    2. Mark R. Manfredo & Raymond M. Leuthold, 1999. "Value-at-Risk Analysis: A Review and the Potential for Agricultural Applications," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 21(1), pages 99-111.
    3. Levy, Haim & Kroll, Yoram, 1979. "Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness," The Review of Economics and Statistics, MIT Press, vol. 61(1), pages 125-130, February.
    Full references (including those not matched with items on IDEAS)

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