MEAN-VARIANCE VERSUS MEAN–EXPECTED SHORTFALL MODELS: AN APPLICATION TO WHEAT VARIETY SELECTION Academic Article uri icon

abstract

  • © The Author(s) 2016. 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.

altmetric score

  • 0.5

author list (cited authors)

  • SUKCHAROEN, K., & LEATHAM, D.

citation count

  • 3

publication date

  • May 2016