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Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis

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  1. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.
  2. Sattinger, Michael, 2011. "The Markov consumption problem," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 409-416.
  3. Arnade, Carlos Anthony & Cooper, Joseph C., 2012. "Acreage Response under Varying Risk Preferences," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(3), pages 1-17.
  4. Eidman, Vernon R., 1989. "Quantifying And Managing Risk In Agriculture," Staff Papers 13646, University of Minnesota, Department of Applied Economics.
  5. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
  6. Helmers, Glenn A. & Held, Larry J. & Watts, Myles J., 1982. "Estimating the Impact of Safety First Risk Constraints on Risk-Income Frontiers," 1982 Annual Meeting, August 1-4, Logan, Utah 279474, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  7. Dohi, T. & Tanaka, H. & Kaio, N. & Osaki, S., 1995. "Alternative growth versus security in continuous dynamic trading," European Journal of Operational Research, Elsevier, vol. 84(2), pages 265-278, July.
  8. Roy S., 1996. "Theory of dynamic portfolio choice for survival under uncertainty," Mathematical Social Sciences, Elsevier, vol. 31(1), pages 61-62, February.
  9. Yohannes Girma & Berhanu Kuma & Amsalu Bedemo, 2023. "Risk Aversion and Perception of Farmers about Endogenous Risks: An Empirical Study for Maize Producers in Awi Zone, Amhara Region of Ethiopia," JRFM, MDPI, vol. 16(2), pages 1-29, February.
  10. Young, Douglas & Lin, William & Pope, Rulon & Robison, Lindon & Selley, Roger, 1979. "Risk Preferences Of Agricultual Producers:Their Measurement And Use," Risk Management in Agriculture: Behavioral, Managerial, and Policy Issues, January 25-26, 1979, San Francisco, California 271459, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
  11. Sharma, Sankalp & Schoengold, Karina, 2016. "A Comparison of Stated and Revealed Risk Preferences using Safety-First," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236126, Agricultural and Applied Economics Association.
  12. William E. Foster & Gordon C. Rausser, 1991. "Farmer Behavior under Risk of Failure," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 276-288.
  13. Levy, Haim & Levy, Moshe, 2009. "The safety first expected utility model: Experimental evidence and economic implications," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1494-1506, August.
  14. Haley, M. Ryan & McGee, M. Kevin, 2011. ""KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 341-352, March.
  15. Atwood, Joseph A. & Watts, Myles J. & Helmers, Glenn A. & Held, Larry J., 1988. "Incorporating Safety-First Constraints In Linear Programming Production Models," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(1), pages 1-8, July.
  16. Stutzer, Michael, 2020. "Persistence of averages in financial Markov Switching models: A large deviations approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  17. Van Kooten, G. C. & Spriggs, John & Schmitz, Andrew, 1989. "The Impact of Canadian Commodity Stabilization Programs on Risk Reduction and the Supply of Agricultural Commodities," Working Papers 244037, Agriculture and Agri-Food Canada.
  18. Grauer, Robert R., 2013. "Limiting losses may be injurious to your wealth," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5088-5100.
  19. Sergiy Gerasymchuk, 2007. "Mean-Variance Portfolio Selection with Reference Dependent Preferences," Working Papers 150, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  20. Gren, Ing-Marie & Carlsson, Mattias & Elofsson, Katarina & Munnich, Miriam, 2012. "Stochastic carbon sinks for combating carbon dioxide emissions in the EU," Energy Economics, Elsevier, vol. 34(5), pages 1523-1531.
  21. Gren, Ing-Marie & Carlsson, Mattias, 2013. "Economic value of carbon sequestration in forests under multiple sources of uncertainty," Journal of Forest Economics, Elsevier, vol. 19(2), pages 174-189.
  22. Selley, Roger, 1980. "Specification Of Firm Level Risk Behavior Models: Another Look At The Alternatives," Risk Analysis in Agriculture: Research and Educational Developments, January 16-18, 1980, Tucson, Arizona 271562, Regional Research Projects > W-149: An Economic Evaluation of Managing Market Risks in Agriculture.
  23. Blank, Steven C., 1990. "Returns To Limited Crop Diversification," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(2), pages 1-9, December.
  24. Itami, Hiroyuki, 1974. "Parametric Evaluation and Mean-Standard Deviation Analysis in Stochastic Programming Models," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 9(1), pages 62-82, July.
  25. Young, Douglas L. & Van Kooten, G.C., 1988. "Incorporating Risk Into A Dynamic Programming Application: Flexcropping," Regional Research Projects > 1988: S-180 Annual Meeting, March 20-23, 1988, Savannah, Georgia 272781, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  26. Yuan, Shiwei & Li, Xin & Du, Erhu, 2021. "Effects of farmers’ behavioral characteristics on crop choices and responses to water management policies," Agricultural Water Management, Elsevier, vol. 247(C).
  27. Purcell, David L. & Turner, Steven C. & Houston, Jack E. & Hall, Charles R., 1993. "A Portfolio Approach To Landscape Plant Production And Marketing," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 25(2), pages 1-14, December.
  28. repec:ags:ucdegw:232858 is not listed on IDEAS
  29. Robison, Lindon J., 1994. "Expanding The Set Of Expected Utility And Mean Standard Deviation Consistent Models," 1994 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses Risk, Technical Committee Meeting, March 24-26, 1994, Gulf Shores State Park, Alabama 271676, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
  30. Gren, Ing-Marie Gren & Elofsson, Katarina, 2013. "Value of land use for carbon sequestration: An application to the EU climate policy," Working Paper Series 2012:4, Swedish University of Agricultural Sciences, Department Economics.
  31. Gren, Ing-Marie & Baxter, Peter & Mikusinski, Grzegorz & Possingham, Hugh, 2014. "Cost-effective biodiversity restoration with uncertain growth in forest habitat quality," Journal of Forest Economics, Elsevier, vol. 20(1), pages 77-92.
  32. Adelman, Irma & Hihn, J. Michael & Head, Thomas, 1981. "An Approach to Policy Evaluation in the Egyptian Agricultural Sector: Simulation of Egyptian Village Economy," Working Papers 232858, University of California, Davis, Agricultural Development Systems: Egypt Project.
  33. Haim Levy, 2010. "The CAPM is Alive and Well: A Review and Synthesis," European Financial Management, European Financial Management Association, vol. 16(1), pages 43-71, January.
  34. Atwood, Joseph A. & Buschena, David E., 2003. "Evaluating the magnitudes of financial transactions costs on risk behavior," Agricultural Systems, Elsevier, vol. 75(2-3), pages 235-249.
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