Risk Aversion and Price Risk in Duality Models of Production: A Linear Mean‐Variance Approach

1992 ◽  
Vol 74 (4) ◽  
pp. 849-859 ◽  
Author(s):  
Barry T. Coyle
Keyword(s):  
Risk Aversion ◽  
Price Risk ◽  
Mean Variance ◽  
Variance Approach

Robo-advising: a dynamic mean-variance approach

2021 ◽  
Author(s):  
Min Dai ◽  
Hanqing Jin ◽  
Steven Kou ◽  
Yuhong Xu
Keyword(s):  
Mean Variance ◽  
Variance Approach

scholarly journals Market-based instruments for risk-averse farmers: rubber agroforest conservation in Jambi Province, Indonesia

2016 ◽  
Vol 22 (2) ◽  
pp. 133-155 ◽  
Author(s):  
Utkur Djanibekov ◽  
Grace B. Villamor
Keyword(s):  
Income Inequality ◽  
Risk Aversion ◽  
Real Options ◽  
Risk Averse ◽  
Variance Model ◽  
Income Uncertainty ◽  
Real Options Approach ◽  
Pigovian Taxes ◽  
Rubber Agroforest ◽  
Mean Variance

AbstractThis paper investigates the effectiveness of different market-based instruments (MBIs), such as eco-certification premiums, carbon payments, Pigovian taxes and their combination, to address the conversion of agroforests to monoculture systems and subsequent effects on incomes of risk-averse farmers under income uncertainty in Indonesia. For these, the authors develop a farm-level dynamic mean-variance model combined with a real options approach. Findings show that the conservation of agroforest is responsive to the risk-aversion level of farmers: the greater the level of risk aversion, the greater is the conserved area of agroforest. However, for all risk-averse farmers, additional incentives in the form of MBIs are still needed to prevent conversion of agroforest over the years, and only the combination of MBIs can achieve this target. Implementing fixed MBIs also contributes to stabilizing farmers’ incomes and reducing income risks. Consequently, the combined MBIs increase incomes and reduce income inequality between hardly and extremely risk-averse farmers.

Intelligent Simulation Method and its Application on Risk Analysis

2011 ◽  
Vol 217-218 ◽  
pp. 1293-1296
Author(s):  
Hua Zheng ◽  
Li Xie ◽  
Li Zi Zhang
Keyword(s):  
Risk Analysis ◽  
Value At Risk ◽  
Simulation Method ◽  
Quantitative Model ◽  
Electricity Price ◽  
Price Risk ◽  
Fuzzy Neural ◽  
Intelligent Simulation ◽  
Intelligent Model ◽  
Variance Approach

This article describes an intelligent simulation method for measuring price risk, which is still one of the important problems for various risk managements and need to be studied profoundly. To solve this problem, risk measured in terms of Value at Risk on electricity price is proposed by intelligent simulation. In this work, prices under various market scenarios are produced by intelligent model using fuzzy neural network (FNN). After that, the quantitative model for price risk analysis is built in the form of a function of the estimated probability distribution of price, where price VAR is determined from the distribution according to parameter set, i.e. confidence level. The proposed method is more realistic and effective than variance approach to provide the assessment of the potential loss of electricity price over some period of time.

Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach

2021 ◽  
Author(s):  
Fenghui Yu ◽  
Wai-Ki Ching ◽  
Chufang WU ◽  
Jiawen Gu
Keyword(s):  
Trading Strategies ◽  
Pairs Trading ◽  
Mean Variance ◽  
Variance Approach
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