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A Note Comparing Single-Index Models and Quadratic Programming Models for Farm Planning Under Risk

Author

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  • Batterham, Robert L.
  • Drynan, Ross G.
  • Oarke, D.K.
  • Carter, P.H.

Abstract

Single-index models from portfolio theory have previously been adapted for risk efficient farm planning in North America. The potential for using single-index models in farm planning is considered in this paper both theoretically and in the light of two illustrative Australian case studies. It is concluded that single-index models have no significant computational or other advantages over full quadratic programming portfolio selection models for farm planning and may produce relatively poor plans and poor assessments of the risks associated with those plans.

Suggested Citation

  • Batterham, Robert L. & Drynan, Ross G. & Oarke, D.K. & Carter, P.H., 1993. "A Note Comparing Single-Index Models and Quadratic Programming Models for Farm Planning Under Risk," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 61(03), pages 1-14, December.
    • Handle: RePEc:ags:remaae:9627
    DOI: 10.22004/ag.econ.9627
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    References listed on IDEAS

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    1. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    2. Ross G. Drynan, 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 30(1), pages 53-62, April.
    3. Robert A. Collins & Peter J. Barry, 1986. "Risk Analysis with Single-Index Portfolio Models: An Application to Farm Planning," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 152-161.
    4. Drynan, Ross G., 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 30(1), pages 1-10, April.
    5. Johnson, R.W.M., 1992. "Risk and the Farm Firm: A Corporate Finance View," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 60(01), pages 1-13, April.
    6. Hardaker, J. Brian & Pandey, Sushil & Patten, Louise H., 1991. "Farm Planning under Uncertainty: A Review of Alternative Programming Models," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 59(01), pages 1-14, April.
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    Cited by:

    1. Arriaza, M. & Gomez-Limon, J. A., 2003. "Comparative performance of selected mathematical programming models," Agricultural Systems, Elsevier, vol. 77(2), pages 155-171, August.

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    Keywords

    Farm Management; Risk and Uncertainty;

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