A COMPARISON OF CRITERIA FOR EVALUATING RISK MANAGEMENT STRATEGIES

Timothy Baker () and Brent A. Gloy

No 21726, 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: Several criteria that produce rankings of risk management alternatives are evaluated. The criteria considered are Value at Risk, the Sharpe ratio, the necessary condition for first degree stochastic dominance with a risk free asset, and the necessary condition for second degree stochastic dominance with a risk free asset. The effectiveness of the criteria increases as decision-makers are assumed to be more risk averse and have greater access to financial leverage.

Keywords: Research Methods/ Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 26
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea00:21726

DOI: 10.22004/ag.econ.21726

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