SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Schoenau, Franziska; Musshoff, Oliver.

In diesem Beitrag wird der Frage nachgegangen, inwieweit Optimierungsansätze wie lineare Programmierungsmodelle geeignet sind, bessere Entscheidungen als reale Entscheider zu treffen. Auch beleuchtet werden Unterschiede im Entscheidungsverhalten und in den Produktionsstrategien. Dazu lassen wir ein gemischt-ganzzahliges lineares Programmierungsmodell (LP) und ein mehrperiodisches gemischt-ganzzahliges Programmierungsmodell (MLP) in einem Unternehmensplanspiel mit studentischen Teilnehmern konkurrieren. Es zeigt sich, dass die getesteten Optimierungsansätze tatsächlich erfolgreicher sind als die realen Entscheider im Durchschnitt. Allerdings übertreffen einzelne reale Entscheider die unter Anwendung von Optimierungsmodellen bestimmten Spielstrategien. Die...

Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten

Palavras-chave: Optimierungsmodelle; Planspiel; Verhaltensannahmen; Entscheidungsfindung; Optimization models; Business management game; Behavioural assumptions; Decision behaviour; Agribusiness; Agricultural and Food Policy; Agricultural Finance.

Ano: 2011

URL: http://purl.umn.edu/114520

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is proposed to analyse the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are located remotely from the weather station. Another finding is that significant differences...

ZUR QUANTIFIZIERUNG DES BASISRISIKOS VON WETTERDERIVATEN

Palavras-chave: Weather risk; Weather derivatives; Precipitation model; Basis risk; Resource /Energy Economics and Policy; Risk and Uncertainty.

Ano: 2005

URL: http://purl.umn.edu/18822

Es ist seit langem bekannt, dass das Wetter den Hauptunsicherheitsfaktor in der pflanzlichen Produktion darstellt. Seit einiger Zeit wird der Einsatz von Wetterderivaten zur Absicherung gegen wetterbedingte Ertragsschwankungen diskutiert. In diesem Beitrag wird am Beispiel ei-nes getreideproduzierenden Betriebes in Brandenburg unter Verwendung von realen Ertrags- und Wetterdaten mit Hilfe einer stochastischen Simulation die risikomindernde Wirkung quan-tifiziert, die durch den Einsatz von Niederschlagsoptionen erzielt werden kann. Dabei wird die Hedging-Effektivität durch das Kontraktdesign (Index, Strike-Preis, Tick-Size) gesteuert. Das Basisrisiko der Produktion und das geografische Basisrisiko verbleiben jedoch in jedem Fall beim Landwirt. Ziel ist es,...

Modeling and Pricing Rain Risk

Palavras-chave: Risk and Uncertainty.

Ano: 2006

URL: http://purl.umn.edu/14947

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences may...

An Interdisciplinary Approach to White-collar Crime in the Food Sector

Palavras-chave: Weather risk; Weather derivatives; Precipitation model; Basis risk; Resource /Energy Economics and Policy; Risk and Uncertainty; C8; Q14; Q54.

Ano: 2006

URL: http://purl.umn.edu/25386

Hirschauer, Norbert; Musshoff, Oliver; Scheerer, Sebastian.

The probability that buyers are deceived with regard to the quality or safety of purchased products (moral hazard) increases with the profits which suppliers can earn through opportunistic behaviour. It decreases with the probability and level of losses that result from disclosure of malpractice. It also decreases with protective factors rooted in the suppliers' social contexts - such as values, emotional bonds etc. - that shield them from yielding to economic temptations. This paper describes how a systematic analysis of economic incentives and social context factors can be provided through an interdisciplinary approach which combines the analytical powers of microeconomics (game theory) and criminology (control theories). The approach is discussed with...

Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?

Palavras-chave: Asymmetric information; Behavioural food risks; Control theories; Game theory; Moral hazard; Opportunistic malpractice; Agribusiness; Institutional and Behavioral Economics; A13; K32; K42.

Ano: 2006

URL: http://purl.umn.edu/25688

Comparison of the Investment Behavior of German and Kazakhstani Farmers: an Experimental Approach

Since the mid-nineties, agricultural economists discuss the suitability of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall or temperature over a certain period) that are measured objectively at a defined meteorological station. While weather derivatives thus circumvent the problem of moral hazard and adverse selection, weather derivative markets for the agricultural sector are still in their infancy all-over the world. Some economists attribute this to theoretical valuation problems and the lack of a pricing method which is accepted by all market participants. Others think that the low...

Tipo: Journal Article

Palavras-chave: Weather derivatives; Rainfall risk; Willingness-to-pay; Portfolio optimization; Hedging of volumetric risk; Farm Management; Financial Economics; Risk and Uncertainty.

Ano: 2008

URL: http://purl.umn.edu/97605

Tubetov, Dulat; Maart, Syster Christin; Musshoff, Oliver.

Revised April 2012

Tipo: Working Paper

Palavras-chave: Experimental Economics; Investment Timing; Real Options; Kazakhstan; Germany; Agricultural Finance; Institutional and Behavioral Economics; International Development; Risk and Uncertainty; C91; D03; D81; D92.

Ano: 2012

URL: http://purl.umn.edu/122422

Wie viel bringt eine verbesserte Produktionsprogrammplanung auf der Grundlage einer systematischen Auswertung empirischer Zeitreihen? – Die Bedeutung von Prognosemodellen bei der Optimierung unter Unsicherheit

How appropriate are myopic optimization models to predict decision behaviour: A comparison between agent-based models and business management games

In this paper we examine whether there is room for improvement in farm program decisions through the integration of formal mathematical optimisation into the planning process. Probing the potential for improvement, we investigate the cases of four Brandenburg cash crop farms over the last six years. We find that their total gross margins could have been increased significantly through a more sophisticated program planning. However, we also find that the superiority of formalised planning approaches depends on the quality of the data. The superior formal planning approach includes, in contrast to farmers’ ad hoc planning, a systematic time series analysis of gross margins and a stochastic optimisation model. For each of the six years, the formal planning...

Tipo: Journal Article

Palavras-chave: Planning of the production program; Optimisation; Uncertainty; Static distributions; Stochastic processes; Farm Management; Risk and Uncertainty.

Ano: 2006

URL: http://purl.umn.edu/97196

Appel, Franziska; Musshoff, Oliver.

Agent-based models (ABM) are used in many cases of policy assessment in agriculture. But the behavioural assumptions of these models consider farmers as myopic optimizing profit maximizers. In this contribution we compare the behaviour of myopic computer agents with the behaviour of students playing a multi period business management game. We aim to answer the question, how far are agent-based models valid to map “real” human behaviour, so that ABM can be used well for policy impact assessment.

Does vertical integration reduce investment reluctance in production chains? An agent-based real options approach

Palavras-chave: Agent-based models; Business management games; Policy impact analysis; Research Methods/ Statistical Methods; C63; C93; D22; Q18.

Ano: 2011

URL: http://purl.umn.edu/115994

Balmann, Alfons; Musshoff, Oliver; Larsen, Karin.

This paper uses an agent-based real options approach to analyze whether stronger vertical integration reduces investment reluctance in pork production. A competitive model in which firms identify optimal investment strategies by using genetic algorithms is developed. Two production systems are compared: a perfectly integrated system and a system in which firms produce either the intermediate product (piglets) or the final product (pork). Simulations show that the spot market solution and the perfectly integrated system lead to a very similar production dynamics even with limited information on production capacities. The results suggest that, from a pure real options perspective, spot markets are not significantly inferior to perfectly integrated supply...

Closing down the Farm: An Experimental Analysis of Disinvestment Timing

Palavras-chave: Real options; Supply chain; Agent-based models; Genetic algorithms; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Institutional and Behavioral Economics; Productivity Analysis.

Ano: 2009

URL: http://purl.umn.edu/59521

Maart, Syster Christin; Musshoff, Oliver; Odening, Martin; Schade, Christian.

Agrarian structures are often characterized by some kind of economic inertia. It is particularly puzzling why unprofitable farms persist over time instead of being sold. In this paper we analyze the exit decision of farmers using the real options approach. The validity of the real options theory is assessed by means of laboratory experiments. Our results show that real options models are able to predict actual disinvestment decisions better than traditional investment theory. Nevertheless, the observed disinvestment reluctance was even more pronounced as predicted by theory. This finding suggests the inclusion of bounded rationality into normative disinvestment models.

Empirische Validierung von Realoptionsmodellen

Palavras-chave: Disinvestment; Real Options; Experimental Economics; Agricultural Finance; Farm Management; C91; D81; D92.

Ano: 2011

URL: http://purl.umn.edu/114375

Odening, Martin; Musshoff, Oliver; Huettel, Silke.

Improved Program Planning Approaches Generates Large Benefits in High Risk Crop Farming

Palavras-chave: Research Methods/ Statistical Methods.

Ano: 2003

URL: http://purl.umn.edu/18825

This paper examines whether there is room for the improvement of farm program decisions through the incorporation of mathematical optimization in the practical planning process. Probing the potential for improvement, we investigate the cases of four German cash crop farms over the last six years. The formal planning approach includes a systematic time series analysis of farmspecific single gross margins and a stochastic optimization model. In order to avoid solutions that simply exceed the farmer's risk tolerance, the apparently accepted variance of the observed program's total gross margin which represents an observable reflection of the individual farmer's risk attitude is used as an upper bound in the optimization. For each of the 24 planning...

Indifference Pricing of Weather Insurance

Palavras-chave: Production program planning; Optimization; Uncertainty; Static distributions; Stochastic processes; Crop Production/Industries; C1; C61; M11; Q12.

Ano: 2007

URL: http://purl.umn.edu/10442

Xu, Wei; Odening, Martin; Musshoff, Oliver.

This article develops an Indifference Pricing model for a weather derivative that is traded over the counter. The model is used to calculate ask and bid prices for a put option on a weather index in Germany. We find that under moderate risk aversion the maximal bid prices of grain producers exceed the minimal sell prices of insurers only for a few regions and crops, due to the presence of basis risk. Another finding is that the actuarially fair price may lead to wrong conclusions about the market potential of weather insurance.

Investment planning under uncertainty and flexibility: the case of a purchasable sales contract

Palavras-chave: Weather insurance; Indifference pricing model; Basis risk; Risk and Uncertainty.

Ano: 2007

URL: http://purl.umn.edu/9267

Investment Reluctance: Irreversibility or Imperfect Capital Markets? Evidence from German Farm Panel Data

Investment decisions are not only characterised by irreversibility and uncertainty but also by flexibility with regard to the timing of the investment. This paper describes how stochastic simulation can be successfully integrated into a backward recursive programming approach in the context of flexible investment planning. We apply this hybrid approach to a marketing question from primary production which can be viewed as an investment problem: should grain farmers purchase sales contracts which guarantee fixed product prices over the next 10 years? The model results support the conclusion from dynamic investment theory that it is essential to take simultaneously account of uncertainty and flexibility.

Tipo: Journal Article

Palavras-chave: Dynamic programming; Flexibility; Investment; Sales contract; Stochastic simulation; Uncertainty; Agricultural Finance; Risk and Uncertainty.

Ano: 2008

URL: http://purl.umn.edu/117741

Huettel, Silke; Musshoff, Oliver; Odening, Martin.

Investment behavior at the firm level is characterized by lumpy adjustments and frequent periods of inactivity. Low investment rates are particularly puzzling in transition economies where an urgent need of modernization exists. The literature offers two explanations for. Firstly, neo-institutional finance theory focuses on the impacts of imperfect capital markets on investment decisions showing that the limited availability of financial funds may confine firms investments. Secondly, real options theory asserts that the interaction of irreversibility, uncertainty and flexibility may also result in investment reluctance. In this paper we suggest a generalized model that combines imperfect capital markets and real options effects. We also offer an...

Improved Program Planning Generates Large Benefits in High Risk Crop Farming – A Profitable Application of Time Series Models and Stochastic Optimization

Palavras-chave: Investment decision; Irreversibility; Uncertainty; Q-model; Capital market imperfections; Generalized tobit model; Transition; Financial Economics; D81; D92; O12.

Ano: 2007

URL: http://purl.umn.edu/9826

Agricultural production relies to a great extent on biological processes in natural environments. In addition to volatile prices, it is thus heavily exposed to risks caused by the variability of natural conditions such as rainfall, temperature and pests. With a view to the apparently lacking support of risky farm production program decisions through formal planning models, the objective of this paper is to examine whether, and eventually by how much, farmers’ “intuitive” program decisions can be improved through formal statistical analyses and stochastic optimization models. In this performance comparison, we use the results of the formal planning approach that are generated in a quasi ex-ante analysis as a normative benchmark for the empirically observed...

Reale Optionen und Landwirtschaftliche Betriebslehre – oder: Kann man mit der Optionspreistheorie arbitrieren?

Palavras-chave: Stochastic optimization; Program planning; Time series analysis; Crop Production/Industries.

Ano: 2008

URL: http://purl.umn.edu/44174

Odening, Martin; Musshoff, Oliver.

This paper discusses the real options approach to investment. Real options facilitate an analysis of investment under uncertainty explicitly taking into account irreversibility of the investment decision and flexibility with respect to the investment timing. This is achieved by exploiting the analogy between a financial option and an investment project. We pinpoint the relation to traditional methods of capital budgeting as well as the special features of this concept, namely the exclusion of arbitrage opportunities and the independence of individual risk preferences. Analytical and numerical solution procedures for option pricing are presented. An application to investments in hog finishing illustrates the main ideas of the real options approach. It turns...

Tipo: Journal Article

Palavras-chave: Real options; Investment under uncertainty; Flexibility; Contingent claim analysis; Hysteresis; Hog finishing; Farm Management; Risk and Uncertainty.

Ano: 2001

URL: http://purl.umn.edu/99004

Modeling and Hedging Rain Risk

In this article we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a de-correlation analysis is proposed to assess the spatial basis risk that is inherent to rainfall derivatives. The models are applied to precipitation data in Brandenburg, Germany. Based on simplifying assumptions of the production function, we quantify and compare the risk exposure of grain producers with and without rainfall insurance. It turns out that a considerable risk remains with producers who are remotely located from the weather station. Another finding is that significant differences...

Bounded Recursive Stochastic Simulation - A Simple and Efficient Method for Pricing Complex American Type Options

Palavras-chave: Risk and Uncertainty.

Ano: 2006

URL: http://purl.umn.edu/21050

Musshoff, Oliver; Hirschauer, Norbert; Palmer, Ken.

This paper gives an overview of simulation based procedures, which have proved to be efficient in valuing American options and therefore real options. Many of them integrate sequential stochastic simulations in the backward recursive programming approach to determine the early-exercise frontier. They subsequently value the option by initiating a Monte-Carlo simulation from the valuation date of the option. It turns out that one approach (Grant et al., 1997) is especially simple. We are able to enhance its efficiency by stripping it of some time consuming but unnecessary simulation steps. Our simplified approach could be called "Bounded Recursive Stochastic Simulation".