A comparison of criteria for evaluating risk management strategies
Several criteria that produce rankings of risk management strategies are evaluated. The criteria considered are expected return, 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 stocha...
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| Veröffentlicht in: | Agricultural finance review 2001-05, Vol.61 (1), p.38-56 |
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| container_end_page | 56 |
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| container_title | Agricultural finance review |
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| creator | Gloy, Brent A. Baker, Timothy G. |
| description | Several criteria that produce rankings of risk management strategies are evaluated. The criteria considered are expected return, 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 criteria performed relatively well in that the most desirable strategy under each criterion was always at least a member of the second-degree stochastic dominance efficient set. There was also a relatively high degree of consistency between the highest ranked strategies under the various criteria. The effectiveness of the criteria increases as decision makers are assumed to be more risk averse and have greater access to financial leverage |
| doi_str_mv | 10.1108/00214740180001115 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0002-1466 |
| ispartof | Agricultural finance review, 2001-05, Vol.61 (1), p.38-56 |
| issn | 0002-1466 2041-6326 |
| language | eng |
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| source | Emerald A-Z Current Journals; Standard: Emerald eJournal Premier Collection |
| subjects | Agricultural risk Risk management Risk ranking criteria Sharpe ratio Stochastic dominance Value at risk |
| title | A comparison of criteria for evaluating risk management strategies |
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