PORTFOLIO SELECTION UNDER EXPONENTIAL AND QUADRATIC UTILITY

The production or marketing portfolio that is optimal under the assumption of quadratic utility may or may not be optimal under the assumption of exponential utility. In certain cases, the necessary and sufficient condition for an identical solution is that absolute risk aversion coefficients associated with the two utility functions be the same. In other cases, equality of risk aversion coefficients is a sufficient condition only. A comparison is made between use of exponential and quadratic utility in the analysis of a California farmer’s marketing problem.


Subject(s):
Issue Date:
1982-07
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/32418
Published in:
Western Journal of Agricultural Economics, Volume 07, Number 1
Page range:
43-52
Total Pages:
10




 Record created 2017-04-01, last modified 2017-11-24

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