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| Registros recuperados: 38 | |
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| Larsen, Ryan A.; Leatham, David J.; Vedenov, Dmitry V.. |
| The issue of modeling farm financial decisions in a dynamic framework is addressed in this paper. Discrete stochastic programming is used to model the farm portfolio over the planning period. One of the main issues of discrete stochastic programming is representing the uncertainty of the data. The development of financial scenario generation routines provides a method to model the stochastic nature of the model. In this paper, two approaches are presented for generating scenarios for a farm portfolio problem. The approaches are based on copulas and optimization. The copula method provides an alternative to the multivariate normal assumption. The optimization method generates a number of discrete outcomes which satisfy specified statistical properties by... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness; Agricultural Finance; Farm Management. |
| Ano: 2010 |
URL: http://purl.umn.edu/61509 |
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| Power, Gabriel J.; Vedenov, Dmitry V.. |
| Commodity cash and futures prices have been rising steadily since 2006. As evidenced by the April 2008 Commodity Futures Trading Commission Agricultural Forum, there is much concern among traditional futures and options market participants that the usefulness of commodity derivatives has been compromised. When basis risk is particularly high, dynamic hedging methods may be helpful despite their complexity and higher transaction costs. To assess the potential benefits of dynamic hedging in volatile times, this paper proposes a novel, empirical copula-based method to estimate GARCH models and to compute time-varying hedge ratios. This approach allows a nonlinear, asymmetric dependence structure between cash and futures prices. The paper addresses four... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37609 |
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| Vedenov, Dmitry V.; Barnett, Barry J.. |
| This study analyzes efficiency of weather derivatives as primary insurance instruments for six crop reporting districts that are among the largest producers of corn, cotton, and soybeans in the United States. Specific weather derivatives are constructed for each crop/district combination based on analysis of several econometric models. The performance of the designed weather derivatives is then analyzed both in- and out-of-sample. The primary findings suggest that the optimal structure of weather derivatives varies widely across crops and regions, as does the risk-reducing performance of the optimally designed weather derivatives. Further, optimal weather derivatives required rather complicated combinations of weather variables to achieve reasonable fits... |
| Tipo: Journal Article |
Palavras-chave: Agricultural risk management; Crop insurance; Index insurance; Weather derivatives; Risk and Uncertainty. |
| Ano: 2004 |
URL: http://purl.umn.edu/30916 |
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| Vedenov, Dmitry V.; Duffield, James A.; Wetzstein, Michael E.. |
| The hypothesis underlying this analysis is that in the presence of volatile gasoline prices competitive market forces will yield alternative, less volatile fuels as substitutes. A real-option pricing approach was employed for this analysis by modeling investment under uncertainty for the case of comparing stochastic prices of substitute commodities. Based on real options, threshold decision rules were developed for the adoption of portfolio fuels such as ethanol and conventional gasoline blends. Considering this portfolio effect, the benefit-to-cost ratios are above four for the alternative blends under varying discount rates and time horizons. This provides a strong indication that consumer demand exists for these portfolio fuels. Competitive markets will... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Resource /Energy Economics and Policy. |
| Ano: 2005 |
URL: http://purl.umn.edu/19182 |
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| Zhang, Zibin; Vedenov, Dmitry V.; Wetzstein, Michael E.. |
| The U.S. ethanol fuel industry has experienced preferential treatment from federal and state governments ever since the Energy Tax Act of 1978 exempted 10% ethanol/gasoline blend (gasohol) from the federal excise tax. Combined with a 54¢/gal ethanol import tariff, this exemption was designed to provide incentives for the establishment and development of a U.S. ethanol industry. Despite these tax exemptions, until recently, the U.S. ethanol fuel industry was unable to expand from a limited regional market. Ethanol was dominated in the market by MTBE (methyl-tertiary-butyl ether). Only after MTBE was found to contaminate groundwater and consequently banned in many states did the demand for ethanol expand nationally. Limit pricing on the part of MTBE... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Resource /Energy Economics and Policy. |
| Ano: 2007 |
URL: http://purl.umn.edu/34867 |
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| Vedenov, Dmitry V.. |
| This paper presents a copula-based methodology for modeling joint yield distributions. Copulas have been used extensively in financial literature, but have not been widely used in agricultural economics and particularly risk management. The copula approach provides a powerful and flexible method to model multivariate distributions and thus go beyond joint normality, regressibility, and mean-variance criterion. Accurate estimation of joint distributions may help to improve the results in the area of risk management and insurance obtained under more limiting assumptions. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2008 |
URL: http://purl.umn.edu/6264 |
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| Vedenov, Dmitry V.; Miranda, Mario J.. |
| The paper discusses a methodology for design and pricing of index insurance contracts for crop production. The methodology heavily relies on establishing a relationship between the index and yields in order to evaluate the contract performance in hedging farmers' risk. However, analysis of yield/rainfall data series for Iowa corn and Kansas wheat fail to produce a reliable and meaningful relationship which can be used uniformly across several counties and/or crop producing districts. Further research is needed as to applicability of rainfall insurance to specific crop/region combinations. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2001 |
URL: http://purl.umn.edu/20458 |
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| Ahmedov, Zafarbek; Power, Gabriel J.; Vedenov, Dmitry V.; Fuller, Stephen W.; McCarl, Bruce A.; Vadali, Sharada. |
| Traffic flows in the U.S. have been affected by the substantial increase and, as of January 2009, decrease in biofuel production and use. This paper considers a framework to study the effect on grain transportation flows of the 2005 Energy Act and subsequent legislation, which mandated higher production levels of biofuels, e.g. ethanol and biodiesels. Future research will incorporate changes due to the recent economic slowdown. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Ethanol; Biodiesel; Spatial equilibrium; Quadratic programming; Agricultural and Food Policy; Crop Production/Industries; Resource /Energy Economics and Policy. |
| Ano: 2009 |
URL: http://purl.umn.edu/49837 |
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| Cardenas, Gabriela; Vedenov, Dmitry V.; Houston, Jack E.. |
| Despite the decline of coffee prices during the 1990s, coffee production remains a main economic activity for producers in Southeastern Mexico. This paper analyzes the coffee production system for 24 municipios, or districts, in Veracruz, Mexico during a five-year cropping period (1997-2002). A stochastic frontier approach is used in order to estimate an input distance function and evaluate production efficiency during the period. Factors such as coffee quality and access to markets are tested in terms of their effect on efficiency. The results show the production process in these municipios, as measured by technical efficiency, seems to be stable over time despite of price fluctuations in the global market. Production of staple crops (corn) along with... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
| Ano: 2005 |
URL: http://purl.umn.edu/19470 |
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| Registros recuperados: 38 | |
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