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Sufficient Conditions for Expected Utility to Imply Mean-Standard Deviation Rankings: Empirical Evidence Concerning the Location and Scale Condition

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Cited by:

  1. Perez-Mesa, Juan Carlos & Galdeano-Gomez, Emilio & Aznar-Sanchez, Jose A., 2011. "Management System for Harvest Scheduling: The Case of Horticultural Production in Southeast Spain," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 14(4), pages 1-20, November.
  2. Pablo C. Benítez & Timo Kuosmanen & Roland Olschewski & G. Cornelis van Kooten, 2006. "Conservation Payments under Risk: A Stochastic Dominance Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 1-15.
  3. repec:ibf:rbfstu:v:8:y:2017:i:1:p:1-11 is not listed on IDEAS
  4. Auer, Benjamin R., 2015. "Does the choice of performance measure influence the evaluation of commodity investments?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 142-150.
  5. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  6. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
  7. Pennings, Joost M. E. & M. Leuthold, Raymond, 2001. "Introducing new futures contracts: reinforcement versus cannibalism," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 659-675, October.
  8. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Robust evidence on the similarity of Sharpe ratio and drawdown-based hedge fund performance rankings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 153-165.
  9. Schuster, Martin & Auer, Benjamin R., 2012. "A note on empirical Sharpe ratio dynamics," Economics Letters, Elsevier, vol. 116(1), pages 124-128.
  10. Dillon, Andrew, 2008. "Access to irrigation and the escape from poverty: Evidence from Northern Mali," IFPRI discussion papers 782, International Food Policy Research Institute (IFPRI).
  11. Auer, Benjamin R., 2018. "A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio," Finance Research Letters, Elsevier, vol. 24(C), pages 289-290.
  12. Erwin Bulte & Joost Pennings, 1997. "A Note on Overfishing, Fishing Rights and Futures Markets," European Journal of Law and Economics, Springer, vol. 4(4), pages 327-335, December.
  13. Ford, Stephen A. & Ford, Beth Pride & Spreen, Thomas H., 1995. "Evaluation of Alternative Risk Specifications in Farm Programming Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 24(1), pages 25-35, April.
  14. Robison, Lindon J. & Hanson, Steven D., 1995. "Analyzing Firm Response to Risk Using Mean-Variance Models," Staff Paper Series 201207, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  15. Nelson, Carl H. & Ndjeunga, Jupiter, 1997. "Elliptical Symmetry, Expected Utility, And Mean-Variance Analysis," ACE Reports 14795, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  16. Pennings, Joost M.E. & Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2004. "The Impact Of Marketing Advisory Service Recommendations On Producers' Marketing Decisions," 2004 Annual meeting, August 1-4, Denver, CO 20389, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  17. Joost M.E. Pennings & Raymond M. Leuthold, 1999. "Futures Exchange Innovations: Reinforcement versus Cannibalism," Finance 9905003, University Library of Munich, Germany.
  18. Joost M. E. Pennings & Matthew T. G. Meulenberg, 1998. "New Futures Markets in Agricultural Production Rights: Possibilities and Constraints for the British and Dutch Milk Quota Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 49(1), pages 50-66, March.
  19. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
  20. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
  21. Kuwornu, John K.M. & Kuiper, W. Erno & Pennings, Joost M.E. & Meulenberg, Matthew T.G., 2005. "Incentive Provision and Coordination Costs in Food-Marketing Channels: A Multi-Stage Channel-Agency Theory Perspective," Journal of Food Distribution Research, Food Distribution Research Society, vol. 36(01), pages 1-6, March.
  22. Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005/18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
  23. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
  24. Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
  25. Thomas Eichner & Andreas Wagener, 2011. "Portfolio allocation and asset demand with mean-variance preferences," Theory and Decision, Springer, vol. 70(2), pages 179-193, February.
  26. Pennings, Joost M. E., 2004. "A marketing-finance approach towards industrial channel contract relationships: a model and application," Journal of Business Research, Elsevier, vol. 57(6), pages 601-609, June.
  27. Pennings, Joost M.E. & Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2004. "The Impact of Market Advisory Service Recommendations on Producers' Marketing Decisions," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(2), pages 1-20, August.
  28. James L. Kuhle & Eric C. Lin, 2018. "Evaluating Real Estate Mutual Fund Performance Using The Morningstar Upside/Downside Capture Ratio," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 12(1), pages 15-22.
  29. Richard D. Farmer, 2006. "Risk-Smoothing Across Time and the Demand for Inventories: A Mean-Variance Approach," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 699-722, Fall.
  30. Benjamin R. Auer & Tobias Hiller, 2021. "Cost gap, Shapley, or nucleolus allocation: Which is the best game‐theoretic remedy for the low‐risk anomaly?," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(4), pages 876-884, June.
  31. James L. Kuhle & Eric C. Lin, 2018. "An Evaluation Of Risk And Return Performance Measure Alternatives: Evidence From Real Estate Mutual Funds," Review of Business and Finance Studies, The Institute for Business and Finance Research, vol. 9(1), pages 1-11.
  32. Homm, Ulrich & Pigorsch, Christian, 2012. "Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2274-2284.
  33. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.
  34. Bick, Avi, 2004. "The mathematics of the portfolio frontier: a geometry-based approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 337-361, May.
  35. Gomez-Limon, Jose Antonio & Riesgo, Laura & Arriaza Balmón, Manuel, 2002. "Agricultural Risk Aversion Revisited: A Multicriteria Decision-Making Approach," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24827, European Association of Agricultural Economists.
  36. Gomez-Limon, Jose A. & Arriaza, Manuel & Riesgo, Laura, 2003. "An MCDM analysis of agricultural risk aversion," European Journal of Operational Research, Elsevier, vol. 151(3), pages 569-585, December.
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