JOINT ESTIMATION OF RISK PREFERENCE STRUCTURE AND TECHNOLOGY USING EXPO-POWER UTILITY

被引:132
作者
SAHA, A [1 ]
SHUMWAY, CR [1 ]
TALPAZ, H [1 ]
机构
[1] ARO,VOLCANI CTR,DEPT STAT,BET DAGAN,ISRAEL
关键词
EXPECTED UTILITY; RISK AVERSION; RISK PREFERENCE; TECHNOLOGY;
D O I
10.2307/1243619
中图分类号
F3 [农业经济];
学科分类号
0202 ; 020205 ; 1203 ;
摘要
A method is developed to permit joint estimation of risk preference structure, degree of risk aversion, and production technology. The method is implemented using the Expo-Power utility function, which imposes no restrictions on risk preference structure. The empirical application uses data from a sample of Kansas wheat farmers. Evidence rejects the null hypothesis of risk neutrality and suggests that Kansas farmers exhibit decreasing absolute risk aversion and increasing relative risk aversion. Results also show that combined estimation of production function parameters with the utility function parameter is more efficient than is separate estimation of each.
引用
收藏
页码:173 / 184
页数:12
相关论文
共 36 条
[1]   ECONOMETRIC ESTIMATION OF PRODUCERS RISK ATTITUDES [J].
ANTLE, JM .
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1987, 69 (03) :509-522
[2]   HUMAN-CAPITAL AND LIFE-CYCLE EFFECTS ON RISK-AVERSION [J].
BELLANTE, D ;
SABA, RP .
JOURNAL OF FINANCIAL RESEARCH, 1986, 9 (01) :41-51
[3]   TRADEOFF BETWEEN EXPECTED RETURN AND RISK AMONG CORNBELT FARMERS [J].
BRINK, L ;
MCCARL, B .
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1978, 60 (02) :259-263
[4]  
Buccola S.T., 1982, W J AGR EC, V7, P43
[5]   ACREAGE DECISIONS UNDER RISK - THE CASE OF CORN AND SOYBEANS [J].
CHAVAS, JP ;
HOLT, MT .
AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1990, 72 (03) :529-538
[6]  
CHAVAS JP, 1985, SO EC J JAN, P818
[7]  
CHAVAS JP, 1993, EC BEHAVIOR UNCERTAI
[8]  
*CHIC BOARD TRAD, 1978, STAT ANN
[9]   INDIVIDUAL INVESTOR RISK AVERSION AND INVESTMENT PORTFOLIO COMPOSITION [J].
COHN, RA ;
LEWELLEN, WG ;
LEASE, RC ;
SCHLARBAUM, GG .
JOURNAL OF FINANCE, 1975, 30 (02) :605-620
[10]   BOOTSTRAPPING A REGRESSION EQUATION - SOME EMPIRICAL RESULTS [J].
FREEDMAN, DA ;
PETERS, SC .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1984, 79 (385) :97-106