Data/hora: 13/06/2024 04:53:35

Provedor de dados: 	31	
País: 	United States	
Título: 	Futuros agropecuários em portfólios de máxima utilidade esperada

Commodity futures in portfolios of maximum expected utility	
Autores: 	Silveira,   Rodrigo Lanna Franco da; Barros,   Geraldo Sant'Ana de Camargo.	
Data: 	2010-01-28	
Ano: 	2009	
Palavras-chave: 	Portfolio; Agricultural futures contract; Utility; Risk and Uncertainty.	
Resumo: 	This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between August of 1994 and December of 2007. From the optimal combinations of risk-return (calculated by Markowitz algorithm) and the use of a quadratic utility function (with different levels of risk aversion), were obtained portfolios that maximizes expected utility. The commodity futures were not present in the maximum expected utility portfolios for the complete period, 1994-2000. However, with division of sample in two and three periods, the commodity futures were included in these portfolios during the 2000s. Furthermore, in general, with the risk aversion increase, the participation of these papers in the portfolio had fall.	
Tipo: 	Journal Article	
Idioma: 	Português	
Identificador: 	ISSN 1679-1614

http://purl.umn.edu/56854	
Relação: 	Revista de Economia e Agronegocio/Brazilian Review of Economics and Agribusiness&gt;Volume 7, Number 2, 2009	
Formato: 	18