A decision framework for a farmer who is risk averse in the Arrow-Pratt sense and downside risk averse

This study provides a decision framework to analyze optimal production diversification decisions under uncertainty for a farmer who is risk averse in the Arrow-Pratt sense and downside risk averse. The decision model accounts for the third central moment of the joint distribution of portfolio returns. This is relevant for asymmetrical return distributions. This general model contains the classical decision model as a special case. The benefit of the proposed generalization is that each competing behavioral hypothesis is discerned econometrically through the significance of the agent’s coefficient of absolute and/or relative downside risk aversion.


Variant title:
Un modelo de decisión para un agricultor que es averso al riesgo en el sentido Arrow-Pratt y averso al riesgo downside
Issue Date:
Dec 01 2014
Publication Type:
Journal Article
DOI and Other Identifiers:
DOI: 10.7201/earn.2014.02.01. (Other)
PURL Identifier:
http://purl.umn.edu/195720
Published in:
Economia Agraria y Recursos Naturales, Volume 14, Number 02
Page range:
5-26
Total Pages:
22
JEL Codes:
D21; D81; G11




 Record created 2017-04-01, last modified 2017-08-28

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)