Article thumbnail


By Bruce L. Dixon and Peter J. Barry


Mean-variance efficient portfolio analysis is applied to situations where not all assets are perfectly price elastic in demand nor are asset moments known with certainty. Estimation and solution of such a model are based on an agricultural banking example. The distinction and advantages of a Bayesian formulation over a classical statistical approach are considered. For maximizing expected utility subject to a linear demand curve, a negative exponential utility function gives a mathematical programming problem with a quartic term. Thus, standard quadratic programming solutions are not optimal. Empirical results show important differences between classical and Bayesian approaches for portfolio composition, expected return and measures of risk.Agricultural Finance, Research Methods/ Statistical Methods,

OAI identifier:
Downloaded from

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

Suggested articles


  1. Alternative Approaches to the Theory of the Banking Firm."
  2. Estimation for Markowitz Efficient Portfolios."
  3. Forecasting and Probability Distributions for Models of Portfolio Selection."
  4. (1982). Impacts of Deregulation in Financial Markets on Agricultural Banks, Unpublished Ph.D. Thesis,
  5. Imperfect Asset Elasticity and Portfolio Theory."
  6. Introduction of Risk into a Risk Programming Model."
  7. Liquidity Preference as Behavior Towards Risk."
  8. Portfolio Analysis Under Uncertain Mean, Variances and Covariances."
  9. Portfolio Selection with an Imperfectly Competitive Asset Market."
  10. Portfolio Selection: The Effects of Uncertain Means, Variances and Covariances."
  11. Portfolio Selection."
  12. Portfolio Theory and the Demand for Futures: The Case of California Cotton."
  13. The Effect of Estimation Risk on Optimal Portfolio Choice."