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Necessary Conditions For Dsd Efficiency Of Mixtures Of Risky Alternatives

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  • McCamley, Francis
  • Kliebenstein, James B.

Abstract

Necessary conditions for DSD (decreasing absolute risk aversion stochastic dominance) efficiency of • mixtures of risky alternatives are presented. A concave programming problem which is equivalent to these conditions is stated. A simple example is used to illustrate these ideas. An ex post analysis provides additional insight.

Suggested Citation

  • McCamley, Francis & Kliebenstein, James B., 1986. "Necessary Conditions For Dsd Efficiency Of Mixtures Of Risky Alternatives," 1986 Annual Meeting, July 27-30, Reno, Nevada 278149, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea86:278149
    DOI: 10.22004/ag.econ.278149
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    File URL: https://ageconsearch.umn.edu/record/278149/files/aaea-1986-096.pdf
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    References listed on IDEAS

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    1. Morin, Roger A & Fernandez Suarez, Antonio, 1983. "Risk Aversion Revisited," Journal of Finance, American Finance Association, vol. 38(4), pages 1201-1216, September.
    2. Hamal, K.B. & Anderson, Jock R., 1982. "A Note On Decreasing Absolute Risk Aversion Among Farmers In Nepal," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 26(3), pages 1-6, December.
    3. Myles J. Watts & Larry J. Held & Glenn A. Helmers, 1984. "A Comparison of Target MOTAD to MOTAD," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 175-186, March.
    4. Hildreth, Clifford & Knowles, Glenn J., 1982. "Some Estimates of Farmers' Utility Functions," Technical Bulletins 54545, University of Minnesota, Agricultural Experiment Station.
    5. Porter, R Burr, 1974. "Semivariance and Stochastic Dominance: A Comparison," American Economic Review, American Economic Association, vol. 64(1), pages 200-204, March.
    6. Vickson, R. G. & Altmann, M., 1977. "On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(1), pages 73-84, March.
    7. repec:ags:agsaem:288652 is not listed on IDEAS
    8. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
    9. R. G. Vickson, 1977. "Stochastic Dominance Tests for Decreasing Absolute Risk-Aversion II: General Random Variables," Management Science, INFORMS, vol. 23(5), pages 478-489, January.
    10. Anderson, Jock R. & Dillon, John L. & Hardaker, Brian, 1977. "Agricultural Decision Analysis," Monographs: Applied Economics, AgEcon Search, number 288652.
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    Cited by:

    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).
    2. McCamley, Francis P. & Rudel, Richard K., 2001. "Shadow Price Implications Of Several Stochastic Dominance Criteria," 2001 Annual Meeting, July 8-11, 2001, Logan, Utah 36163, Western Agricultural Economics Association.
    3. McCamley, Francis, "undated". "Approximating a GSD-Efficient Set of Mixtures of Risky Alternatives for Risk Averse Decision Makers," Working Papers 256651, University of Missouri Columbia, Department of Agricultural Economics.
    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.

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