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| Larsen, Ryan A.; Mjelde, James W.; Klinefelter, Danny A.; Wolfley, Jared L.. |
| Yield correlations between 380 different counties are calculated for non-irrigated wheat. Using this data, a function is estimated that shows the relationship between correlation and changes in geographic and climate data. In addition movement variables are included added to the specification to capture the impact of moving from one production region to another. A negative relationship was found between changes in latitude, longitude, precipitation, elevation, and temperature. Correlations and longitude and precipitation showed downward sloping concave relationship, whereas correlations and latitude showed downward sloping convex relationships. Changes in latitude and longitude are found to have greatest impact on correlation with elasticities of -1.54... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Yield Correlations; Geographical Diversification; Farm Management; Agribusiness; Crop Production/Industries; Farm Management; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/46819 |
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| Larsen, Ryan A.; Vedenov, Dmitry V.; Leatham, David J.. |
| As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a copula dependence parameter into the VaR estimation. In addition, an alternative risk measure was also calculated, CVaR. The CVaR, unlike VaR, is a coherent risk measure. Thus it does not suffer from many of the shortcomings of the VaR. The land portfolio consisted of Dryland wheat production acres in Texas, Colorado, and Montana. Three series of net returns were calculated for each region. Based on the VaR and the CVaR, the portfolio was optimized based on minimizing the expected loss based on... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Copula; CVaR; Risk-Management; Geographical Diversification; Agribusiness; Farm Management; Risk and Uncertainty. |
| Ano: 2009 |
URL: http://purl.umn.edu/46763 |
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