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| Hoe, Lam Weng; Saiful Hafizah, Jaaman; Zaidi, Isa. |
| Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the mean-variance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization. However, the mean-variance model relies strictly on the assumptions that assets returns are multivariate normally distributed or investors have a quadratic utility function. Many studies have proposed different risk measures to overcome the drawbacks of variance. The purpose of this paper is to discuss and compare the portfolio compositions and performances of four different portfolio optimization models employing different risk measures, specifically the variance, absolute deviation, minimax and semi-variance. Results... |
| Tipo: Journal Article |
Palavras-chave: Portfolio; Optimization; Risk measures; Variance.; Financial Economics; CO2; C61; G11. |
| Ano: 2010 |
URL: http://purl.umn.edu/95934 |
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| Kobus, Pawel. |
| The paper deals with the problem of modelling yield risk measures for major crop plants in Poland. Hence, in some cases the gamma distribution offers a better fit to the data than normal distribution, and in addition to linear models, generalized linear models were also used. The research was based on data from Polish FADN, with sample sizes ranging from 416 up to 2300, depending on the crop plant. It was found that models based on the farm level data, can explain on average 20% of variation coefficient unevenness. The most important variables were average yield, type of farming, arable area and land quality. The elimination of the average yield from the models reduced the average determination coefficient to about 9%. |
| Tipo: Presentation |
Palavras-chave: Production risk; Risk measures; Yield distribution; Risk and Uncertainty; Q10; C46. |
| Ano: 2012 |
URL: http://purl.umn.edu/122535 |
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