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| Mandal, Maitreyi; Lagerkvist, Carl Johan. |
| Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion cannot correctly proxy the expected utility with non-Normal returns. Copulas are a very useful tool to deal with non standard multivariate distribution. Value at Risk (VaR) and Conditional Value at Risk (CVaR) have emerged as a golden measure of risk in recent times. Though... |
| Tipo: Presentation |
Palavras-chave: Portfolio Choice; Downside Risk Protection; Value at risk; Copula; Agricultural Finance; Risk and Uncertainty; C52; G11; Q14. |
| Ano: 2012 |
URL: http://purl.umn.edu/124387 |
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| Bashir, Muhammad Khalid; Schilizzi, Steven. |
| Six methods for measuring food security are identified from the literature. The dietary intake method (DIM) and the food insecurity experienced-based measurement scales (FIEMS), the two most commonly used, were empirically tested using 1152 rural households in the Punjab province of Pakistan. Results show significant differences in the measurement of food insecure households: 22.9% with DIM vs. 4.7% with FIEMS. A slight change in the food security definition resulted in significant differences. With slight definitional changes, 6.5% of the sample households appeared food insecure using DIM and only 1.1% using FIEMS. Given its high definitional sensitivity, food security must be carefully defined according to country specific conditions and should reflect... |
| Tipo: Presentation |
Palavras-chave: Food security; Hunger; Measurement; Vulnerability analysis; Value at risk; Conditional value at risk; Food Security and Poverty. |
| Ano: 2012 |
URL: http://purl.umn.edu/124227 |
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