Consulta: creatorFacets:"Musshoff,   Oliver"
Registros recuperados: 45
Data/hora: 01/06/2024 06:03:58

MIT OPTIMIERUNGSANSÄTZEN BESSERE ENTSCHEIDUNGEN TREFFEN? – EINE EMPIRISCHE ANALYSE IN EINEM PLANSPIEL
Provedor de dados: 31
Autores: 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...
Tipo: Conference Paper or Presentation
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

Zur Reduzierung niederschlagsbedingter Produktionsrisiken mit Wetterderivaten
Provedor de dados: 31
Autores: Musshoff,   Oliver; Odening,   Martin; Xu,   Wei.
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...
Tipo: Working or Discussion Paper
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

ZUR QUANTIFIZIERUNG DES BASISRISIKOS VON WETTERDERIVATEN
Provedor de dados: 31
Autores: Musshoff,   Oliver; Odening,   Martin; Xu,   Wei.
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,...
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2006
URL: http://purl.umn.edu/14947

Modeling and Pricing Rain Risk
Provedor de dados: 31
Autores: Musshoff,   Oliver; Odening,   Martin; Xu,   Wei.
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...
Tipo: Conference Paper or Presentation
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

An Interdisciplinary Approach to White-collar Crime in the Food Sector
Provedor de dados: 31
Autores: 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...
Tipo: Conference Paper or Presentation
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

Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein?
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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

Comparison of the Investment Behavior of German and Kazakhstani Farmers: an Experimental Approach
Provedor de dados: 31
Autores: 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
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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

How appropriate are myopic optimization models to predict decision behaviour: A comparison between agent-based models and business management games
Provedor de dados: 31
Autores: 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.
Tipo: Conference Paper or Presentation
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

Does vertical integration reduce investment reluctance in production chains? An agent-based real options approach
Provedor de dados: 31
Autores: 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...
Tipo: Working or Discussion Paper
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

Closing down the Farm: An Experimental Analysis of Disinvestment Timing
Provedor de dados: 31
Autores: 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.
Tipo: Conference Paper or Presentation
Palavras-chave: Disinvestment; Real Options; Experimental Economics; Agricultural Finance; Farm Management; C91; D81; D92.
Ano: 2011
URL: http://purl.umn.edu/114375

Empirische Validierung von Realoptionsmodellen
Provedor de dados: 31
Autores: Odening,   Martin; Musshoff,   Oliver; Huettel,   Silke.
Tipo: Working or Discussion Paper
Palavras-chave: Research Methods/ Statistical Methods.
Ano: 2003
URL: http://purl.umn.edu/18825

Improved Program Planning Approaches Generates Large Benefits in High Risk Crop Farming
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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...
Tipo: Conference Paper or Presentation
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

Indifference Pricing of Weather Insurance
Provedor de dados: 31
Autores: 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.
Tipo: Conference Paper or Presentation
Palavras-chave: Weather insurance; Indifference pricing model; Basis risk; Risk and Uncertainty.
Ano: 2007
URL: http://purl.umn.edu/9267

Investment planning under uncertainty and flexibility: the case of a purchasable sales contract
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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

Investment Reluctance: Irreversibility or Imperfect Capital Markets? Evidence from German Farm Panel Data
Provedor de dados: 31
Autores: 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...
Tipo: Conference Paper or Presentation
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

Improved Program Planning Generates Large Benefits in High Risk Crop Farming – A Profitable Application of Time Series Models and Stochastic Optimization
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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...
Tipo: Conference Paper or Presentation
Palavras-chave: Stochastic optimization; Program planning; Time series analysis; Crop Production/Industries.
Ano: 2008
URL: http://purl.umn.edu/44174

Reale Optionen und Landwirtschaftliche Betriebslehre – oder: Kann man mit der Optionspreistheorie arbitrieren?
Provedor de dados: 31
Autores: 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
Provedor de dados: 31
Autores: Musshoff,   Oliver; Odening,   Martin; Xu,   Wei.
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...
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2006
URL: http://purl.umn.edu/21050

Bounded Recursive Stochastic Simulation - A Simple and Efficient Method for Pricing Complex American Type Options
Provedor de dados: 31
Autores: 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".
Tipo: Working or Discussion Paper
Palavras-chave: Research Methods/ Statistical Methods.
Ano: 2002
URL: http://purl.umn.edu/18823

Trust and the Profitability of Rule-Breaking in Grain Production
Provedor de dados: 31
Autores: Hirschauer,   Norbert; Musshoff,   Oliver.
Malpractice in food production entails unacceptable procedures and undesirable product qualities and other negative material outcomes. Despite their physical implications, behavioural sources of risk have become known as moral hazards. The probability of malpractice increases with attached profits. It decreases with the probability of disclosure and resulting losses. It also decreases with social values, emotional bonds etc. which prevent food producers from yielding to economic temptations. Trust can be generated both by reducing the profitability of malpractice and by enhancing social trust factors. Referring to Hennessy et al. (2003), who conclude that misdirected incentives are a major source of food risk, we focus on the former and analyse the...
Tipo: Conference Paper or Presentation
Palavras-chave: Behavioural risk; Moral hazard; Incentive-compatibility; Trust; Crop Production/Industries.
Ano: 2006
URL: http://purl.umn.edu/7754

Die Berücksichtigung von Unsicherheit und Flexibilität in der Investitionsplanung – dargestellt am Beispiel einer Vertragsinvestition für Roggen
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
Investment decisions are, as a rule, characterized by uncertainty, irreversibility and flexibility. Simple net present value calculations will not account for these features. In many situations even flexible investment planning with decision trees, which represents the most advanced method of traditional investment appraisal, does not have the capacity to solve practical decision problems adequately. One handicap is a realistic and manageable representation of stochastic variables. It has long been known that stochastic simulation procedures offer a nearly unlimited capacity to represent distributions and stochastic processes. However, a standard simulation will not allow for the consideration of flexibility. The problem is that with a simple forward...
Tipo: Journal Article
Palavras-chave: Investment; Uncertainty; Flexibility; Stochastic simulation; Dynamic programming; Sales contracts with fixed prices; Farm Management; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2004
URL: http://purl.umn.edu/97437

Sophisticated Program Planning Approaches Generate Large Benefits in High Risk Crop Farming
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
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...
Tipo: Conference Paper or Presentation
Palavras-chave: Stochastic optimization; Stochastic processes; Production risk; Program planning; Time series analysis; C1; C61; M11; Q12.
Ano: 2008
URL: http://purl.umn.edu/36865

The Role of Bounded Rationality in Farm Financing Decisions – First Empirical Evidence –
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert; Wassmuss,   Harm.
Farmers do not often change from their house bank to another bank, even if the competing banks offer better conditions. This “reluctance to switch” can be explained, on the one hand, by the transaction costs resulting from such a change of business relation. On the other hand, it may be the result of bounded rationality. The results of a survey of North German farmers show that they are indeed bounded rational borrowers. They greatly underestimate the monetary disadvantages which are caused by the higher interest rates for loans from their house bank. In other words: They do not switch bank even if their individually perceived transaction costs are already “covered” by the lower interest rates of the alternative loan offer.
Tipo: Conference Paper or Presentation
Palavras-chave: Financing behavior; Bounded rationality; Switching costs; Agricultural Finance; Farm Management; Financial Economics; Institutional and Behavioral Economics; Q12; G32; C91.
Ano: 2009
URL: http://purl.umn.edu/51545

Real Options and Competition: The Impact of Depreciation and Reinvestment
Provedor de dados: 31
Autores: Balmann,   Alfons; Musshoff,   Oliver.
Tipo: Conference Paper or Presentation
Palavras-chave: International Relations/Trade.
Ano: 2002
URL: http://purl.umn.edu/24934

Policy Impact Analysis in the Dairy Sector ˗ An Agent-Based Real Options Approach ˗
Provedor de dados: 31
Autores: Feil,   Jan-Henning; Musshoff,   Oliver; Balmann,   Alfons.
Tipo: Conference Paper or Presentation
Palavras-chave: Agricultural and Food Policy; Livestock Production/Industries.
Ano: 2011
URL: http://purl.umn.edu/103729

Optimal Design of Weather Bonds
Provedor de dados: 31
Autores: Xu,   Wei; Odening,   Martin; Musshoff,   Oliver.
Replaced with revised version of paper 06/17/08.
Tipo: Conference Paper or Presentation
Palavras-chave: Weather risk; Weather bonds; Reinsurance; Securitisation; Agricultural Finance; Risk and Uncertainty.
Ano: 2008
URL: http://purl.umn.edu/6781

ZUM DESINVESTITIONSVERHALTEN LANDWIRTSCHAFTLICHER UNTERNEHMER: ERGEBNISSE EINER EXPERIMENTELLEN UNTERSUCHUNG
Provedor de dados: 31
Autores: Maart,   Syster Christin; Musshoff,   Oliver; Odening,   Martin; Schade,   Christian.
B1_3
Tipo: Conference Paper or Presentation
Palavras-chave: Desinvestition; Realoptionsansatz; Experimentelle Ökonomik; Agricultural Finance; Farm Management; Financial Economics; Research Methods/ Statistical Methods.
Ano: 2010
URL: http://purl.umn.edu/93943

IS THE "STANDARD REAL OPTIONS APPROACH" APPROPRIATE FOR INVESTMENT DECISIONS IN HOG PRODUCTION?
Provedor de dados: 31
Autores: Balmann,   Alfons; Musshoff,   Oliver.
Applications of the real options approach hardly consider investment returns to be the result of competitive markets such as markets for agricultural products. The reason is probably that Dixit and Pindyck (1994, ch. 8) show in their very popular book "Investment under Uncertainty" that the investment triggers of firms in competitive markets are equal to those of firms with exclusive options. In this study, however, it is shown that this result is restricted to markets in which assets have infinite lifetime. If assets are subject to depreciation and subsequent reinvestment opportuni-ties, competition leads to significantly lower investment triggers. The reason is that depreciation of replaceable assets allows to compensate the potential decline in returns...
Tipo: Conference Paper or Presentation
Palavras-chave: Livestock Production/Industries.
Ano: 2002
URL: http://purl.umn.edu/19897

Microfinance for Agricultural Firms-  Credit Access and Loan Repayment in Tanzania
Provedor de dados: 31
Autores: Weber,   Ron; Musshoff,   Oliver.
On the example of a commercial microfinance institution (MFI) in Tanzania this paper investigates first whether agricultural firms have a different probability to get a loan and whether their loans are differently volume rationed than loans to non-agricultural firms. Second, we analyze whether agricultural firms repay their loans with different delinquencies than non-agricultural firms. Our results reveal that agricultural firms face higher obstacles to get credit but as soon as they have access to credit, their loans are not differently volume rationed than those of non-agricultural firms. Furthermore, agricultural firms are less often delinquent when paying back their loans than non-agricultural firms. Our findings suggest that a higher risk exposition...
Tipo: Presentation
Palavras-chave: Agricultural Finance; Access to Credit; Loan Repayment; Microfinance Institutions; Financial Economics; International Development; Risk and Uncertainty; G21; G32; Q14.
Ano: 2012
URL: http://purl.umn.edu/122552

Holding on for too long? An experimental study on inertia in entrepreneurs’ and non-entrepreneurs’ disinvestment choices
Provedor de dados: 31
Autores: Sandri,   Serena; Schade,   Christian; Musshoff,   Oliver; Odening,   Martin.
Disinvestment, in the sense of project termination and liquidation of assets including the cession of a venture, is an important realm of entrepreneurial decision-making. This study presents the results of an experimental investigation modeling the choice to disinvest as a dynamic problem of optimal stopping in which the patterns of decisions are analyzed with entrepreneurs and non-entrepreneurs. Our experimental results reject the standard net present value approach as an account of observed behavior. Instead, most individuals seem to understand the value of waiting. Their choices are weakly related to the disinvestment triggers derived from a formal optimal stopping benchmark consistent with real options reasoning. We also observe a pronounced...
Tipo: Working or Discussion Paper
Palavras-chave: Real-Options; Disinvestment; Exit Behavior; Experimental Economics; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Institutional and Behavioral Economics.
Ano: 2010
URL: http://purl.umn.edu/59518

Design of substrate supply contracts for biogas plants
Provedor de dados: 31
Autores: Reise,   Christian; Liebe,   Ulf; Musshoff,   Oliver.
For a sustainable development of energy production in biogas plants, the continuous supply with substrates is essential. To the authors’ knowledge, there have not been carried out any quantitative investigations of farmers’ choices with regard to supply contracts for biogas plants. Thus, it has been only possible to a limited extent to make predictions for a targeted design of supply contracts. We therefore investigated different factors, which might be relevant for the conclusion of substrate supply contracts, by conducting a survey with 178 German farmers. The survey included a choice experiment, in which participants were confronted with different contract attributes (features). These attributes were varied systematically and thus revealed the influence...
Tipo: Presentation
Palavras-chave: Renewable energy; Bioenergy; Substrate supply contract; Contract design; (labeled) choice experiment; Resource /Energy Economics and Policy.
Ano: 2012
URL: http://purl.umn.edu/124428

Sind landwirtschaftliche Unternehmer bei Zinssätzen zahlenblind? – Erste empirische Ergebnisse –
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert; Wassmuss,   Harm.
Landwirte wechseln oft nicht von ihrer Hausbank zu einer anderen Bank, auch wenn diese bessere Konditionen bietet. Diese „Wechselträgheit“ kann zum einen in den Transaktionskosten des Wechsels begründet sein. Zum anderen kann sie aber auch das Ergebnis begrenzt rationalen Entscheidungsverhaltens sein. Die Analyse der Befragungsergebnisse einer Gruppe norddeutscher Landwirte zeigt, dass diese tatsächlich begrenzt rational sind. Sie unterschätzen den geldwerten Nachteil, der ihnen durch höhere Darlehenszinsen der Hausbank entsteht. Anders ausgedrückt: Sie wechseln nicht die Bank, auch wenn die von ihnen subjektiv wahrgenommenen Wechselkosten schon längst durch den geringeren Effektivzins eines  Alternativangebotes „gedeckt“ sind. Damit lässt sich...
Tipo: Conference Paper or Presentation
Palavras-chave: Finanzierungsverhalten; Begrenzte Rationalität; Wechselkosten; Agricultural Finance.
Ano: 2009
URL: http://purl.umn.edu/53256

Optimal Timing of Farmland Investment - An Experimental Study on Farmers' Decision Behavior -
Provedor de dados: 31
Autores: Maart,   Syster Christin; Musshoff,   Oliver.
Replaced with revised version of paper 5/26/11.
Tipo: Conference Paper or Presentation
Palavras-chave: Experimental Economics; Investment; Real Options; Agribusiness; Agricultural Finance; Farm Management; Financial Economics; Institutional and Behavioral Economics; Risk and Uncertainty; C91; D81; D92.
Ano: 2011
URL: http://purl.umn.edu/103693

Naive Deckungsbeitragsvergleiche führen bei Vorverträgen in die Irre - Lieferung von Industrierüben zur Bioethanolherstellung
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
Bislang ist wenig über das Verhalten von Landwirten bei Vertragsangeboten für die Lieferung nachwachsender Rohstoffe bekannt. In der vorliegenden Untersuchung wird deshalb die Akzeptanz von Landwirten für Industrierübenlieferverträge untersucht. Dabei zeigt sich, dass das Antwortverhalten der Landwirte nicht den Prognosen entspricht, die sich auf der Grundlage gängiger Deckungsbeitragsvergleiche ergeben. Zudem wird deutlich, dass die Nachbesserung eines Vertrags, die nach einem erfolglosen ersten Vertragsangebot vorgenommen wird, eine geringere Akzeptanz bewirkt als ein sofortiges höheres Vertragsangebot.Little is known about the actual behavior of farmers who are offered forward contracts for renewable resources. The present survey therefore investigates...
Tipo: Conference Paper or Presentation
Palavras-chave: Vertragsdesign; Vertragsakzeptanz; Lieferverträge; Industrierüben; Contract design; Contract acceptance; Forward contracts; Sugar beet as a renewable resource; Agribusiness; Agricultural and Food Policy; Land Economics/Use.
Ano: 2011
URL: http://purl.umn.edu/114488

The Effects of Different Political Schemes on the Willingness to Invest, Firm Profitability and Economic Efficiency in the Dairy Sector - An Agent-Based Real Options Approach-
Provedor de dados: 31
Autores: Feil,   Jan-Henning; Musshoff,   Oliver; Balmann,   Alfons.
In recent years, the dairy sector has been exposed to strong changes in general conditions and extreme fluctuations in milk prices. Farmers and lobbyists have therefore asked politicians for additional market regulation. In this paper an agent-based real options market model is developed, which allows the analysis of the effects of different political schemes on the willingness to invest, firm profitability and economic efficiency in the dairy sector. The model results show that political schemes generally increase the willingness to invest in competitive markets under consideration of real options effects. However, they do not offer any substantial financial benefits to the producers and can cause a significant reduction in welfare. Furthermore, the...
Tipo: Conference Paper or Presentation
Palavras-chave: Real Options; Competition; Policy Impact Analysis; Dairy Sector; Agricultural and Food Policy; D81; Q12; Q18.
Ano: 2011
URL: http://purl.umn.edu/100039

RISIKOMANAGEMENTINSTRUMENTE IM VERGLEICH:  SOLLTE MAN LANDWIRTSCHAFTLICHE  ERNTEVERSICHERUNGEN SUBVENTIONIEREN? – GUTE  ALTE ARGUMENTE IN EINEM NEUEN STREIT
Provedor de dados: 31
Autores: Hirschauer,   Norbert; Musshoff,   Oliver.
Sowohl Ernteversicherungen als auch „Wetterderivate“ sind neuartige Risikomanagementinstrumente, die eine Absicherung gegen Schäden aus nichtkatastrophalen Wetterereignissen ermöglichen, in Deutschland aber bisher nicht verbreitet sind. Im vorliegenden Beitrag wird mit Hilfe eines gesamtbetrieblichen Risikoprogrammierungsansatzes untersucht, welchen Nutzen neuartige Hedginginstrumente für Landwirte haben. Das Besondere des verwendeten Ansatzes besteht darin, dass sowohl das betriebsspezifische Risikoreduzierungspotenzial des jeweiligen Instruments als auch die individuelle Risikoakzeptanz des Landwirts berücksichtigt wird. Seine exemplarische Anwendung auf einen nordostdeutschen Marktfruchtbetrieb zeigt, dass standardisierte Wetterderivate einen...
Tipo: Conference Paper or Presentation
Palavras-chave: Risikomanagement; Ernteversicherungen; Wetterderivate; Zahlungsbereitschaftsanalyse; Production Economics; Productivity Analysis; Risk and Uncertainty.
Ano: 2008
URL: http://purl.umn.edu/52657

Experimental examination of land investment decisions with volatile returns   A comparison between Kazakhstani and German farmers
Provedor de dados: 31
Autores: Tubetov,   Dulat; Maart,   Syster Christin; Musshoff,   Oliver.
Kazakhstan and Germany have different development levels of the agricultural sector. One of the explanations for this fact might be the different investment behavior of farmers in the two countries. In this study, we experimentally compare the investment behavior of farmers in the two countries in a farmland investment treatment and a coin tossing game investment treatment. In addition, farmers were confronted with the two treatments in a different order. Results demonstrate that German farmers are more reluctant to make investment than Kazakhstani farmers. Moreover, results are independent from the framing of a farmland investment and a coin tossing game investment treatment. Furthermore, the investment behaviors of farmers were contrasted with normative...
Tipo: Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2012
URL: http://purl.umn.edu/122454

The Impact of Price Floors -A Real Options Based Experimental Approach-
Provedor de dados: 31
Autores: Maack,   Moritz; Maart,   Syster Christin; Musshoff,   Oliver.
In order to stimulate investments, agricultural policies frequently use price floors, which guarantee a price above a certain limit. In some cases, however, a price floor does not have the desired effects. In this study, we experimentally analyse differences in the investment be-haviour with respect to the presence of a price floor and compare the actual investment be-haviour to normative benchmarks of the net present value and the real options approach. Furthermore, we look at treatment order and learning effects. The results show that the price floor has no significant impact on the decision behaviour of participants, whereas the effects of treatment order were statistically significant. Regarding the analysis of policy impacts, the latter result shows...
Tipo: Presentation
Palavras-chave: Price floors; Investment decisions; Real options; Experimental economics.; Demand and Price Analysis; C91; D81; E61.
Ano: 2012
URL: http://purl.umn.edu/124328

Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft
Provedor de dados: 31
Autores: Musshoff,   Oliver; Odening,   Martin; Xu,   Wei.
The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent years a new class of instruments, so called weather derivatives, have emerged. They allows to reduce weather based risks as well. Weather derivatives are financial market products such as forwards, futures, options and swaps, that have a weather component such as temperature or rainfall. Although weather derivatives have some advantages compared to traditional insurance, their trading volume is still rather small. One reason (among others) for why potential users...
Tipo: Journal Article
Palavras-chave: Weather derivatives; Option pricing; Actuarial methods; Financial methods; Financial Economics; Risk and Uncertainty.
Ano: 2005
URL: http://purl.umn.edu/97216

Der Wechsel vom konventionellen zum ökologischen Landbau: Eine investitionstheoretische Betrachtung
Provedor de dados: 31
Autores: Odening,   Martin; Musshoff,   Oliver; Utesch,   Volker.
The objective of this paper is to explore the potential of the real options approach for analyzing farmers’ choice to switch from conventional to organic farming. Understanding the determinants of this decision is relevant in particular for agricultural policy makers when predicting the response of farmers to support programs. After a brief review of the existing literature on barriers to the adoption of organic farming a theoretical model is presented that allows one to incorporate two main features of the adoption decision, namely irreversibility and uncertainty of the returns. The real options model quantifies investment multiples that trigger the adoption of organic farming. Compared with neoclassical models it suggests an inertia of the respective...
Tipo: Journal Article
Palavras-chave: Organic farming; Real options; Switching regression; Hysteresis; Farm Management.
Ano: 2004
URL: http://purl.umn.edu/97451

Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model
Provedor de dados: 31
Autores: Ritter,   Matthias; Musshoff,   Oliver; Odening,   Martin.
Weather risk is one of the main causes for income fluctuation in agriculture. Since 1997, the economic consequences of weather risk can be insured with weather derivatives, which are offered for many different weather events, such as temperature, rainfall, snow or hurricanes. It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site...
Tipo: Presentation
Palavras-chave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32.
Ano: 2012
URL: http://purl.umn.edu/122527

Okonomische Hysterese in der Veredlungsproduktion
Provedor de dados: 31
Autores: Hinrichs,   Jan; Musshoff,   Oliver; Odening,   Martin.
German hog production responds only very limited to price fluctuations in the pork market. The hog production concentrates in a few regions though it does not depend on special natural conditions. Furthermore, the production volume does hardly vary over time. Relatively high market risks, sunk costs, and the flexibility of the decision maker to defer investments characterize decision problems hog production. Thus the real option approach is chosen to explain the inertia in production capacity. Using panel data of specialised hog farms from the German farm accountancy data network (FADN) an empirical investment model is estimated. Formally, the model has the structure of an ordered probit model. This approach allows to test for economic hysteresis in the...
Tipo: Working or Discussion Paper
Palavras-chave: Economic Hysteresis; Risk; Real options; Hog production; Livestock Production/Industries.
Ano: 2005
URL: http://purl.umn.edu/18813

Policy Impact Analysis on Investments and Disinvestments under Competition: A Real Options Approach
Provedor de dados: 31
Autores: Feil,   Jan-Henning; Musshoff,   Oliver.
In consequence of changes in general conditions, a higher level of investments and disinvestments in agriculture can be expected. To date, however, there are no policy impact analyses on both investments and disinvestments in competitive agricultural markets in a dynamic-stochastic context. This paper aims to develop a conceptual real options market model, which allows the impact assessment of different political schemes on investment and disinvestment thresholds and the sectoral welfare. Exemplarily, the effects of price floors, investment subsidies and production ceilings are analysed. The results show that the consideration of limited reversibility, that is disinvestments, is of relevance as it can impact the assessment of specific policies.
Tipo: Presentation
Palavras-chave: Real options; Competition; Policy impact analysis; Genetic algoritms; Marketing; Political Economy.
Ano: 2012
URL: http://purl.umn.edu/124294

Optimierung unter Unsicherheit mit Hilfe stochastischer Simulation und Genetischer Algorithmen – dargestellt anhand der Optimierung des Produktionsprogramms eines Brandenburger Marktfruchtbetriebes
Provedor de dados: 31
Autores: Musshoff,   Oliver; Hirschauer,   Norbert.
Optimization has been recognized as a powerful tool in teaching and research for a long time. In spite of its well known problem solving capacity, some methodological obstacles have persisted over the years. The main problem is that stochastic variables and their correlations cannot be adequately accounted for within traditional optimization procedures. In this paper, we develop a methodological mix of stochastic simulation and a heuristic optimization procedure which has become known as genetic algorithms. The simulation part of the mix allows for the consideration of complex information such as stochastic processes; the genetic algorithms-part ensures that the method remains manageable in terms of required time and resources. We demonstrate the decision...
Tipo: Journal Article
Palavras-chave: Optimization; Optimal production program; Stochastic simulation; Genetic algorithms; Uncertainty; Stochastic processes; Farm Management; Risk and Uncertainty.
Ano: 2004
URL: http://purl.umn.edu/97454