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Revenue and Cost Uncertainty, Generalized Mean-Variance, and the Linear Complementarity Problem

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  • Quirino Paris

Abstract

Symmetric quadratic programming and the linear complementarity problem are presented in the context of a novel interpretation of risk programming. The novelty admits stochastic supplies of limiting inputs, and yet it preserves the linearity of the structural constraints. This formulation is, therefore, a generalization of the traditional mean-variance approach originated with Markowitz's portfolio analysis and extended by Freund to farm planning under uncertain revenues. The specification admits also nonzero covariances between revenues and costs of limiting inputs and allows the computation of risk coefficients associated with a companion chance-constrained problem.

Suggested Citation

  • Quirino Paris, 1979. "Revenue and Cost Uncertainty, Generalized Mean-Variance, and the Linear Complementarity Problem," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(2), pages 268-275.
    • Handle: RePEc:oup:ajagec:v:61:y:1979:i:2:p:268-275.
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    Cited by:

    1. Wojciechowski, Jan & Ames, Glenn C.W. & Turner, Steven C. & Miller, Bill R., 2000. "Marketing Of Cotton Fiber In The Presence Of Yield And Price Risk," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-9, December.
    2. House, Robert M., 1989. "Risk Analysis In The Usmp Regional Agricultural Model," 1989 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, April 9-12, 1989, Sanibel Island, Florida 271526, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    3. Zhen, Chen & Zheng, Xiaoyong, 2015. "Measuring the Informational Value of Interpretive Shelf Nutrition Labels to Shoppers," 2016 Allied Social Sciences Association (ASSA) Annual Meeting, January 3-5, 2016, San Francisco, California 212812, Agricultural and Applied Economics Association.
    4. Petsakos, Athanasios & Rozakis, Stelios, 2015. "Calibration of agricultural risk programming models," European Journal of Operational Research, Elsevier, vol. 242(2), pages 536-545.
    5. Love, H. Alan & Buccola, Steven T., 1989. "Risk Aversion, Input Use, And Heteroskedastic Supply," 1989 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, April 9-12, 1989, Sanibel Island, Florida 271525, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    6. Apland, Jeffrey & Hauer, Grant, 1993. "Discrete Stochastic Programming: Concepts, Examples And A Review Of Empirical Applications," Staff Papers 13793, University of Minnesota, Department of Applied Economics.
    7. Dillon, Carl R., 1999. "Production Practice Alternatives For Income And Suitable Field Day Risk Management," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(2), pages 1-15, August.
    8. Sergey S. Rabotyagov & Adriana M. Valcu-Lisman & Catherine L. Kling, 2016. "Resilient Provision of Ecosystem Services from Agricultural Landscapes: Trade-offs Involving Means and Variances of Water Quality Improvements," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 98(5), pages 1295-1313.
    9. Easter, Christopher D. & Paris, Quirino, 1982. "Supply Response With Stochastic Technology And Prices In Australia'S Rural Export Industries," Working Papers 225700, University of California, Davis, Department of Agricultural and Resource Economics.
    10. Edwards, Clark, 1985. "U.S. Agriculture's Potential to Supply World Food Markets," Agricultural Economic Reports 307995, United States Department of Agriculture, Economic Research Service.
    11. Misra, Sukant K. & Spurlock, Stanley R., 1991. "Incorporating The Impacts Of Uncertain Fieldwork Time On Whole-Farm Risk-Return Levels: A Target Motad Approach," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 23(2), pages 1-10, December.
    12. McCarl, Bruce A., 1986. "Innovations In Programming Techniques For Risk Analysis," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271825, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    13. Sergey S. Rabotyagov, 2010. "Ecosystem Services under Benefit and Cost Uncertainty: An Application to Soil Carbon Sequestration," Land Economics, University of Wisconsin Press, vol. 86(4), pages 668-686.
    14. Falatoonzadeh, Hamid & Conner, J. Richard & Pope, Rulon D., 1985. "Risk Management Strategies To Reduce Net Income Variability For Farmers," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 17(1), pages 1-14, July.
    15. Moawia Alghalith, 2005. "Input demand with cost uncertainty," International Economic Journal, Taylor & Francis Journals, vol. 19(1), pages 115-123.
    16. Miller, Thomas A. & Sharples, Jerry A. & House, Robert M. & Moore, Charles V., 1985. "Increasing World Grain Market Fluctuations: Implications for U.S. Agriculture," Agricultural Economic Reports 307997, United States Department of Agriculture, Economic Research Service.
    17. Paris, Quirino & Easter, Christopher D., 1982. "Stochastic Technology And Prices In A Programming Model Of Australian Agriculture," Working Papers 225699, University of California, Davis, Department of Agricultural and Resource Economics.
    18. Mapp, Harry P., 1986. "Innovations And Programming Techniques For Risk Analysis: Discussion," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271994, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    19. Easter, Christopher D. & Paris, Quirino, 1983. "Supply Response With Stochastic Technology And Prices In Australia'S Rural Export Industries," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(1), pages 1-19, April.
    20. Arata, Linda & Donati, Michele & Sckokai, Paolo & Arfini, Filippo, 2014. "Incorporating risk in a positive mathematical programming framework: a new methodological approach," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182659, European Association of Agricultural Economists.
    21. Kaiser, Harry M., 1988. "Simultaneous Production And Marketing Decisions Over Time: Discussion," Regional Research Projects > 1988: S-180 Annual Meeting, March 20-23, 1988, Savannah, Georgia 272841, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.

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