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Evaluating Risk Management Strategies Using Stochastic Dominance With A Risk Free Asset

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  • Gloy, Brent A.
  • Baker, Timothy G.

Abstract

The stochastic dominance with a risk free asset (SDRA) criteria are evaluated. Results show that the inclusion of the risk free asset (combined with the traditional assumptions of stochastic dominance) produce risk efficiency criteria that are very powerful at narrowing the risk management alternatives relevant for farm manager's further consideration.

Suggested Citation

  • Gloy, Brent A. & Baker, Timothy G., 1999. "Evaluating Risk Management Strategies Using Stochastic Dominance With A Risk Free Asset," 1999 Annual meeting, August 8-11, Nashville, TN 21673, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea99:21673
    DOI: 10.22004/ag.econ.21673
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    References listed on IDEAS

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    1. Harwood, Joy L. & Heifner, Richard G. & Coble, Keith H. & Perry, Janet E. & Somwaru, Agapi, 1999. "Managing Risk in Farming: Concepts, Research, and Analysis," Agricultural Economic Reports 34081, United States Department of Agriculture, Economic Research Service.
    2. Levy, Haim & Sarnat, Marshall, 1970. "Alternative Efficiency Criteria: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 25(5), pages 1153-1158, December.
    3. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    4. Levy, Haim & Kroll, Yoram, 1978. "Ordering Uncertain Options with Borrowing and Lending," Journal of Finance, American Finance Association, vol. 33(2), pages 553-574, May.
    5. Levy, Haim & Kroll, Yoram, 1976. "Stochastic Dominance with Riskless Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 743-777, December.
    6. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(3), pages 335-346.
    7. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
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    Cited by:

    1. Wilson, William W. & Wagner, Robert & Nganje, William E., 2003. "Strategic Hedging For Grain Processors," Agribusiness & Applied Economics Report 23637, North Dakota State University, Department of Agribusiness and Applied Economics.

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