Mean-Variance Versus Mean-Expected Shortfall Models: An Application to Wheat Variety Selection

Kunlapath Sukcharoen and David Leatham

Journal of Agricultural and Applied Economics, 2016, vol. 48, issue 2

Abstract: One of the most popular risk management strategies for wheat producers is varietal diversification. Previous studies proposed a mean-variance model as a tool to optimally select wheat varieties. However, this study suggests that the mean–expected shortfall (ES) model (which is based on a downside risk measure) may be a better tool because variance is not a correct risk measure when the distribution of wheat variety yields is multivariate nonnormal. Results based on data from Texas Blacklands confirm our conjecture that the mean-ES framework performs better in term of selecting wheat varieties than the mean-variance method.

Keywords: Crop; Production/Industries (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ags:joaaec:349132

DOI: 10.22004/ag.econ.349132

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