Optimal Sequential Grain Marketing Decisions under Risk Aversion and Price Uncertainty
开发了一种方法，用于在风险规避和价格不确定下寻找期望效用最大化的序贯销售决策，并应用于小麦存储销售，发现早期分批销售可降低风险，且收入分布呈负偏态。
Abstract A method is developed to find sequences of expected utility maximizing decisions under risk aversion when random elements are time‐dependent and additive separable utility of income is implausible. A Taylor‐series approximation to expected utility is used. In an application to marketing stored wheat, expected seasonal sales patterns, early fractional sales of total inventory for risk reduction, and negative skewness in resulting income distributions are noted. Sensitivity to the number of income distribution moments used to approximate expected utility is examined. Six moments produce a good approximation. Use of only mean and variance can give doubtful results.