Developments in portfolio management and risk programming techniques for agriculture

This paper reviews various optimization approaches used to address a variety of issues related to risk in agricultural finance and farm management. The central focus is in the Markowitz mean-variance model, which represents the classical approach to balancing risk and returns in an optimization framework. We also review other models that have been used historically to solve linearizations of the mean-variance problem including MOTAD and target MOTAD. Specialized optimization models such as Target semivariance and direct expected utility maximization are also discussed.