L. Blakeslee, OPTIMAL SEQUENTIAL GRAIN MARKETING DECISIONS UNDER RISK-AVERSION AND PRICE UNCERTAINTY, American journal of agricultural economics, 79(4), 1997, pp. 1140-1152
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-ser
ies approximation to expected utility is used. In an application to ma
rketing stored wheat, expected seasonal sales patterns, early fraction
al 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 i
s examined. Six moments produce a good approximation. Use of only mean
and variance can give doubtful results.