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2 results

  • MEAN-VARIANCE VERSUS MEAN–EXPECTED SHORTFALL MODELS: AN APPLICATION TO WHEAT VARIETY SELECTION

  • KUNLAPATH SUKCHAROEN, DAVID LEATHAM
  • Journal:
    Journal of Agricultural and Applied Economics / Volume 48 / Issue 2 / May 2016
    Published online by Cambridge University Press:
    04 May 2016, pp. 148-172
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  • One of the most popular risk management strategies for wheat producers is varietal diversification. Previous studies proposed a mean-variance model as a tool to optimally select wheat varieties. However, this study suggests that the mean–expected shortfall (ES) model (which is based on a downside risk measure) may be a better tool because variance is not a correct risk measure when the distribution of wheat variety yields is multivariate nonnormal. Results based on data from Texas Blacklands confirm our conjecture that the mean-ES framework performs better in term of selecting wheat varieties than the mean-variance method.