Registro completo |
Provedor de dados: |
AgEcon
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País: |
United States
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Título: |
A COMPARISON OF CRITERIA FOR EVALUATING RISK MANAGEMENT STRATEGIES
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Autores: |
Baker, Timothy G.
Gloy, Brent A.
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Data: |
2000-05-10
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Ano: |
2000
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Palavras-chave: |
Research Methods/ Statistical Methods
Risk and Uncertainty
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Resumo: |
Several criteria that produce rankings of risk management alternatives are evaluated. The criteria considered are Value at Risk, the Sharpe ratio, the necessary condition for first degree stochastic dominance with a risk free asset, and the necessary condition for second degree stochastic dominance with a risk free asset. The effectiveness of the criteria increases as decision-makers are assumed to be more risk averse and have greater access to financial leverage.
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Tipo: |
Conference Paper or Presentation
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Idioma: |
Inglês
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Identificador: |
1967
http://purl.umn.edu/21726
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Editor: |
AgEcon Search
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Relação: |
American Agricultural Economics Association>2000 Annual meeting, July 30-August 2, Tampa, FL
Selected Paper
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Formato: |
26
application/pdf
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