Lecture14-2004 - Farm Portfolio Problem: Part III Lecture...

Info iconThis preview shows pages 1–7. Sign up to view the full content.

View Full Document Right Arrow Icon
Farm Portfolio Problem: Part III Lecture XIV
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Fall 2004 2 Target MOTAD The target MOTAD model is a two-attribute risk and return model. Return is measured as the sum of the expected return of each activity multiplied by the activity level.
Background image of page 2
Fall 2004 3 Risk is measured as the expected sum of the negative deviations of the solution results from a target-return level. Risk is then varied parametrically so that a risk- return frontier can be traced out.
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Fall 2004 4 Mathematically, the model is stated as max ( ) x j j j n ij j j n i rj j j n r r r r n E z c x st a x b T c x y p y = - - = = = = = 1 1 1 1 0 λ
Background image of page 4
Fall 2004 5 Discrete Sequential Stochastic Programming Target MOTAD, direct expected utility, and even MOTAD begin to develop the concept of constraints being stochastic or met with some level of probability. In target MOTAD, income under a certain state exceeds the target level of income with some probability.
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Fall 2004 6 In direct expected utility maximization the level of wealth transferred to the objective function
Background image of page 6
Image of page 7
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 07/15/2011 for the course AEB 6182 taught by Professor Weldon during the Fall '08 term at University of Florida.

Page1 / 16

Lecture14-2004 - Farm Portfolio Problem: Part III Lecture...

This preview shows document pages 1 - 7. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online