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An Alternative Approach to Decisions under Uncertainty Using the Empirical Moment-Generating Function

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  • Robert Neil Collender
  • James A. Chalfant

Abstract

Objections to mean-variance analysis center on the requirement that the distributions be normal or the resulting inattention to higher-order moments when the solution is viewed as an approximation. A nonparametric approach to decision making under uncertainty is developed in this paper using expected utility maximization, the exponential utility function, and an empirical moment-generating function. A decision rule is obtained for land allocation under uncertainty which is not tied to a particular family of distributions and accounts for all moments of the distribution.

Suggested Citation

  • Robert Neil Collender & James A. Chalfant, 1986. "An Alternative Approach to Decisions under Uncertainty Using the Empirical Moment-Generating Function," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(3), pages 727-731.
    • Handle: RePEc:oup:ajagec:v:68:y:1986:i:3:p:727-731.
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    Citations

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    Cited by:

    1. McCamley, Francis, 1987. "Identifying A Csd Efficient Set Of Mixtures Of Risky Alternatives For Risk Preferring Decision Makers," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 270125, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Haim Shalit, 1995. "Mean-Gini analysis of stochastic externalities: The case of groundwater contamination," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 6(1), pages 37-52, July.
    3. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2019. "Statistical and economic evaluation of time series models for forecasting arrivals at call centers," Empirical Economics, Springer, vol. 57(3), pages 923-955, September.
    4. Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011. "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers 2011-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    5. Alexandre Gohin & Herve Guyomard & Fabrice Levert & . Ministère de L'Aménagement Du Territoire Et de L'Environnement, Direction Générale de L'Administration Et Du Développement, Paris (fra) & Francois, 2000. "Economic impacts of reducing agricultural use of mineral fertilizer in France : a general equilibrium analysis [Impacts économiques d'une réduction des utilisations agricoles des engrais minéraux e," Post-Print hal-02840460, HAL.
    6. Boisvert, Richard N. & Peterson, Jeffrey M., 1996. "Conditions for Requiring Separate Green Payments Policies Under Asymmetric Information," Working Papers 127934, Cornell University, Department of Applied Economics and Management.
    7. Peterson, Jeffrey M. & Boisvert, Richard N., 1998. "Optimal Voluntary "Green" Payment Programs To Limit Nitrate Contamination Under Price and Yield Risk," Research Bulletins 122687, Cornell University, Department of Applied Economics and Management.
    8. Chalfant, James & Collender, Robert N. & Subramanfar, Shankar, 1988. "The Mean and Variance of the Mean-Variance Decision Rule," CUDARE Working Papers 198476, University of California, Berkeley, Department of Agricultural and Resource Economics.
    9. Peterson, Jeffrey M. & Boisvert, Richard N., 2001. "Control of Nonpoint Source Pollution Through Voluntary Incentive-Based Policies: An Application to Nitrate Contamination in New York," Agricultural and Resource Economics Review, Cambridge University Press, vol. 30(2), pages 127-138, October.
    10. Chalfant, James A. & Callender, Robert N. & Subramanian, Shankar, 1988. "The Mean And Variance Of The Mean-Variance Decision Rule," Department of Economics and Business - Archive 259434, North Carolina State University, Department of Economics.
    11. Babcock, Bruce A. & Chalfant, James A. & Collender, Robert N., 1987. "Simultaneous Input Demands And Land Allocation In Agricultural Production Under Certainty," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 12(2), pages 1-9, December.
    12. Collender, Robert N. & Chalfant, James, 1986. "Sparse Data and Risk-Efficient Choice Under Uncertainty," CUDARE Working Papers 198341, University of California, Berkeley, Department of Agricultural and Resource Economics.
    13. Schoney, R. A., 1990. "An Analysis of Wheat Supply Response Under Risk and Uncertainty," Working Papers 244030, Agriculture and Agri-Food Canada.
    14. Bailey, Elizabeth & Boisvert, Richard N., 1989. "A Comparison Of Risk Efficiency Criteria In Evaluating Groundnut Performance In Drought-Prone Areas," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 33(3), pages 1-17, December.
    15. Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011. "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers 2011-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    16. J. Brian Hardaker & Louise H. Patten & David J. Pannell, 1988. "Utility‐Efficient Programming For Whole‐Farm Planning," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 32(2-3), pages 88-97, 08-12.
    17. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011. "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," Working Papers 20110301, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
    18. Elamin H. Elbasha, 2005. "Risk aversion and uncertainty in cost‐effectiveness analysis: the expected‐utility, moment‐generating function approach," Health Economics, John Wiley & Sons, Ltd., vol. 14(5), pages 457-470, May.
    19. Collins, Robert A. & Gbur, Edward E., 1991. "Risk Analysis For Proprietors With Limited Liability: A Mean- Variance, Safety- First Synthesis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(1), pages 1-7, July.

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