Abstract

LEON-HERRERA, Albert; MARTINEZ-DAMIAN, Miguel Ángel  and  GARZA-BUENO, Laura Elena. Comparison of the approaches mean-variance and mean-semivariance to choose an agricultural portfolio. Rev. Chapingo Ser.Hortic [online]. 2015, vol.21, n.1, pp.71-80. ISSN 2007-4034.  https://doi.org/10.5154/r.rchsh.2014.04.020.

The objective of this research was to compare the method proposed by Markowitz (mean-variance) and the method proposed by Estrada (mean-semivariance), in the choice of an agricultural portfolio. The data were the returns of five agricultural products for the period 1980-2009; both the covariance matrix and semicovariance matrix were estimated to be used in either method. Later, a size n = 30 simulation of 100 replications was performed, to obtain the yields of each product, thus 100 solutions per method. For comparative purposes, a histogram was constructed; this was completed with the t test concluding that the average portfolio is the same under both methods.

Keywords : Semivariance; diversification; return; net earnings.

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