An Empirical Examination of the Expected Value - Variance Criterion Subject to a Sparse Constraint Set

Donald W. Reid and Bernard V. Tew

No 278151, 1986 Annual Meeting, July 27-30, Reno, Nevada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The theoretical difficulties of the mean-variance (E-V) criterion are well known. A number of recent research efforts have tested the criterion's effectiveness in a publicly traded securities environment. This research explores the performance of the E-V criterion using agricultural investment opportunities. Results of this study indicate that the mean-variance criterion performs well in selecting activities which maximize expected utility. These results are consistent with results of earlier research dealing with tradeable securities.

Keywords: Agricultural and Food Policy; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 21
Date: 1986-07
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea86:278151

DOI: 10.22004/ag.econ.278151

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