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Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports AgEcon
McKenzie, Andrew M.; Singh, Navinderpal.
It is well documented that ‘‘unanticipated’’ information contained in United States Department of Agriculture (USDA) crop reports induces large price reactions in corn and soybean markets. Thus, a natural question that arises from this literature is: To what extent are futures hedges able to remove or reduce increased price risk around report release dates? This paper addresses this question by simulating daily futures returns, daily cash returns, and daily hedged returns around report release dates for two storable commodities (corn and soybeans) in two market settings (North Central Illinois and Memphis, Tennessee). Various risk measures, including ‘‘Value at Risk,’’ are used to determine hedging effectiveness, and ‘‘Analysis of Variance’’ is used to...
Tipo: Journal Article Palavras-chave: Analysis of variance; Storage hedging; United States Department of Agriculture Crop Reports; Value at risk; Marketing; Risk and Uncertainty; Q13; D81.
Ano: 2011 URL: http://purl.umn.edu/100635
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Measuring food security: Definitional sensitivity and implications AgEcon
Bashir, Muhammad Khalid; Schilizzi, Steven.
Six methods for measuring food security are identified from the literature. The dietary intake method (DIM) and the food insecurity experienced-based measurement scales (FIEMS), the two most commonly used, were empirically tested using 1152 rural households in the Punjab province of Pakistan. Results show significant differences in the measurement of food insecure households: 22.9% with DIM vs. 4.7% with FIEMS. A slight change in the food security definition resulted in significant differences. With slight definitional changes, 6.5% of the sample households appeared food insecure using DIM and only 1.1% using FIEMS. Given its high definitional sensitivity, food security must be carefully defined according to country specific conditions and should reflect...
Tipo: Presentation Palavras-chave: Food security; Hunger; Measurement; Vulnerability analysis; Value at risk; Conditional value at risk; Food Security and Poverty.
Ano: 2012 URL: http://purl.umn.edu/124227
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A Comparison of Traditional and Copula based VaR with Agricultural portfolio AgEcon
Mandal, Maitreyi; Lagerkvist, Carl Johan.
Mean-Variance theory of portfolio construction is still regarded as the main building block of modern portfolio theory. However, many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion cannot correctly proxy the expected utility with non-Normal returns. Copulas are a very useful tool to deal with non standard multivariate distribution. Value at Risk (VaR) and Conditional Value at Risk (CVaR) have emerged as a golden measure of risk in recent times. Though...
Tipo: Presentation Palavras-chave: Portfolio Choice; Downside Risk Protection; Value at risk; Copula; Agricultural Finance; Risk and Uncertainty; C52; G11; Q14.
Ano: 2012 URL: http://purl.umn.edu/124387
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INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE Rev. Bras. Frutic.
LOBOS,GERMÁN; MORA,MARCOS; SAENS,RODRIGO; MUÑOZ,TRISTÁN; SCHNETTLER,BERTA.
ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The...
Tipo: Info:eu-repo/semantics/article Palavras-chave: Random values; Value at risk; Probabilistic forecasts.
Ano: 2015 URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0100-29452015000400870
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