 Toward exploring the location-scale condition: a constant relative risk aversion location-scale objective functionCarl Nelson () European Review of Agricultural Economics, 2004, vol. 31, issue 3, 273-287 Abstract: A constant relative risk aversion (CRRA) location-scale function is derived, analysed, and demonstrated for modelling choice under uncertainty. The function contributes to further exploration of the location-scale condition in agricultural economics risk research. Such analysis has been infrequent in recent research because the well-known linear mean-variance function implicitly assumes constant absolute risk aversion (CARA). Examples demonstrate that the CARA meanvariance function produces substantially different results than the CRRA locationscale function. Further, the CRRA location-scale function produces results similar to direct expected utility maximisation with a CRRA utility function and normally distributed returns. Copyright 2004, Oxford University Press. Date: 2004 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oup:erevae:v:31:y:2004:i:3:p:273-287 Ordering information: This journal article can be ordered from Access Statistics for this article European Review of Agricultural Economics is currently edited by Timothy Richards, Salvatore Di Falco, Céline Nauges and Vincenzina Caputo More articles in European Review of Agricultural Economics from Oxford University Press and the European Agricultural and Applied Economics Publications Foundation Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC. |
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