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文章基本信息

  • 标题:A decision framework for a farmer who is risk averse in the Arrow-Pratt sense and downside risk averse
  • 本地全文:下载
  • 作者:Donoso, Guillermo
  • 期刊名称:Journal of Agribusiness
  • 印刷版ISSN:0738-8950
  • 出版年度:2014
  • 页码:5-26
  • 出版社:Journal of Agribusiness
  • 摘要:This study provides a decision framework to analyze optimal production diversification decisions under uncertainty for a farmer who is risk averse in the Arrow-Pratt sense and downside risk averse. The decision model accounts for the third central moment of the joint distribution of portfolio returns. This is relevant for asymmetrical return distributions. This general model contains the classical decision model as a special case. The benefit of the proposed generalization is that each competing behavioral hypothesis is discerned econometrically through the significance of the agent’s coefficient of absolute and/or relative downside risk aversion.
  • 关键词:Downside risk;extension of E-V model;prudence;risk aversion;skewness preference.
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