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Provedor de dados:  AgEcon
País:  United States
Título:  RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK
Autores:  Zylstra, Michael J.
Kilmer, Richard L.
Uryasev, Stanislav
Data:  2003-05-22
Ano:  2003
Palavras-chave:  Conditional Value at Risk
CVaR
Risk Management
Futures
Dairy
Agricultural and Food Policy
Livestock Production/Industries
Risk and Uncertainty
Resumo:  Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk which is compound by the firms financial risk. Financial risk is a function of the firms capital structure. In the short run it is difficult for the producer to significantly change the firms capital structure and therefore balance increased business risk with reduced financial risk. The producer can however reduce financial and business risk by using futures contracts to lock in a price for milk produced. The producer's risk preferences dictate the producer's hedge ratio. Using the return on equity as a profitability measure and the conditional value at risk as a risk measure the optimal hedge ratio is derived for various probabilities of negative returns on equity.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Identificador:  9211

http://purl.umn.edu/22021
Editor:  AgEcon Search
Relação:  American Agricultural Economics Association>2003 Annual meeting, July 27-30, Montreal, Canada
Selected Paper
Formato:  25

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