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Analyzing Firm Response to Risk Using Mean-Variance Models

Listed author(s):
  • Robison, Lindon J.
  • Hanson, Steven D.

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File URL: http://purl.umn.edu/201207
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Paper provided by Michigan State University, Department of Agricultural, Food, and Resource Economics in its series Staff Papers with number 201207.

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Date of creation: Dec 1995
Handle: RePEc:ags:midasp:201207
Contact details of provider: Postal:
Justin S. Morrill Hall of Agriculture, 446 West Circle Dr., Rm 202, East Lansing, MI 48824-1039

Phone: (517) 355-4563
Fax: (517) 432-1800
Web page: http://www.aec.msu.edu/agecon/
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  1. D. Cass & J. E. Stiglitz, 1972. "Risk Aversion and Wealth Effects on Portfolios with Many Assets," Review of Economic Studies, Oxford University Press, vol. 39(3), pages 331-354.
  2. Harvey Lapan & Giancarlo Moschini & Steven D. Hanson, 1991. "Production, Hedging, and Speculative Decisions with Options and Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(1), pages 66-74.
  3. Porter, R. Burr, 1973. "An Empirical Comparison of Stochastic Dominance and Mean-Variance Portfolio Choice Criteria," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(04), pages 587-608, September.
  4. Meyer, Jack & Ormiston, Michael B, 1985. "Strong Increases in Risk and Their Comparative Statics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 425-437, June.
  5. Sandmo, Agnar, 1971. "On the Theory of the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 61(1), pages 65-73, March.
  6. Sarassoro, Gboroton F. & Leuthold, Raymond M., 1991. "Managing multiple international risks simultaneously with an optimal hedging model," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 6(1), October.
  7. Meyer, Jack, 1977. "Choice among distributions," Journal of Economic Theory, Elsevier, vol. 14(2), pages 326-336, April.
  8. Tsiang, S C, 1972. "The Rationale of the Mean-Standard Deviation Analysis, Skewness Preference, and the Demand for Money," American Economic Review, American Economic Association, vol. 62(3), pages 354-371, June.
  9. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
  10. Harvey Lapan & Giancarlo Moschini, 1994. "Futures Hedging Under Price, Basis, and Production Risk," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(3), pages 465-477.
  11. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
  12. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
  13. Meyer, Jack & Rasche, Robert H, 1992. "Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition," Economic Journal, Royal Economic Society, vol. 102(410), pages 91-106, January.
  14. Gershon Feder & Richard E. Just & Andrew Schmitz, 1980. "Futures Markets and the Theory of the Firm under Price Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 94(2), pages 317-328.
  15. Holthausen, Duncan M, 1979. "Hedging and the Competitive Firm under Price Uncertainty," American Economic Review, American Economic Association, vol. 69(5), pages 989-995, December.
  16. Schoemaker, Paul J H, 1982. "The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations," Journal of Economic Literature, American Economic Association, vol. 20(2), pages 529-563, June.
  17. Chavas, Jean-Paul & Pope, Rulon D., 1982. "Hedging And Production Decisions Under A Linear Mean-Variance Preference Function," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(01), July.
  18. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," Review of Economic Studies, Oxford University Press, vol. 36(3), pages 335-346.
  19. Sarassoro, Gboroton F. & Leuthold, Raymond M., 1991. "Managing multiple international risks simultaneously with an optimal hedging model," Agricultural Economics, Blackwell, vol. 6(1), pages 31-47, October.
  20. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
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