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A comparison of criteria for evaluating risk management strategies

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 firstdegree stochastic dominance with a riskfree asset, and the necessary condition for seconddegree stochastic dominance with a riskfree asset. The criteria performed relatively well in that the most desirable strategy under each criterion was always at least a member of the seconddegree 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 http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Agricultural Finance Review Emerald Publishing

A comparison of criteria for evaluating risk management strategies

Agricultural Finance Review , Volume 61 (1): 19 – May 5, 2001

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0002-1466
DOI
10.1108/00214740180001115
Publisher site
See Article on Publisher Site

Abstract

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 firstdegree stochastic dominance with a riskfree asset, and the necessary condition for seconddegree stochastic dominance with a riskfree asset. The criteria performed relatively well in that the most desirable strategy under each criterion was always at least a member of the seconddegree 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

Journal

Agricultural Finance ReviewEmerald Publishing

Published: May 5, 2001

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