Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning

Robert A. Collins and Peter J. Barry

American Journal of Agricultural Economics, 1986, vol. 68, issue 1, 152-161

Abstract: Sharpe's 1963 single-index portfolio model, the separation theorem, and a solution method suggested by Elton, Gruber, and Padberg are adapted in this paper to the farm diversification problem. The objectives are to develop risk measures, based on single-index parameters and computationally simple methods for farm risk planning, that are suitable for microcomputers and modern hand-held calculators. The intent is to produce a normative model with possible extension applications.

Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:68:y:1986:i:1:p:152-161.

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