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An Interdisciplinary Approach to White-collar Crime in the Food Sector AgEcon
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
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Bounded Recursive Stochastic Simulation - A Simple and Efficient Method for Pricing Complex American Type Options AgEcon
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
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Closing down the Farm: An Experimental Analysis of Disinvestment Timing AgEcon
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
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Comparison of the Investment Behavior of German and Kazakhstani Farmers: an Experimental Approach AgEcon
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
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Der Wechsel vom konventionellen zum ökologischen Landbau: Eine investitionstheoretische Betrachtung AgEcon
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
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Design of substrate supply contracts for biogas plants AgEcon
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
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Die Berücksichtigung von Unsicherheit und Flexibilität in der Investitionsplanung – dargestellt am Beispiel einer Vertragsinvestition für Roggen AgEcon
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
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Does vertical integration reduce investment reluctance in production chains? An agent-based real options approach AgEcon
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
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Empirische Validierung von Realoptionsmodellen AgEcon
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
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Experimental examination of land investment decisions with volatile returns A comparison between Kazakhstani and German farmers AgEcon
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
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Hedging von Mengenrisiken in der Landwirtschaft – Wie teuer dürfen „ineffektive“ Wetterderivate sein? AgEcon
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
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Holding on for too long? An experimental study on inertia in entrepreneurs’ and non-entrepreneurs’ disinvestment choices AgEcon
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
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How appropriate are myopic optimization models to predict decision behaviour: A comparison between agent-based models and business management games AgEcon
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
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Improved Program Planning Approaches Generates Large Benefits in High Risk Crop Farming AgEcon
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
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Improved Program Planning Generates Large Benefits in High Risk Crop Farming – A Profitable Application of Time Series Models and Stochastic Optimization AgEcon
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
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Indifference Pricing of Weather Insurance AgEcon
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
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Investment planning under uncertainty and flexibility: the case of a purchasable sales contract AgEcon
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
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Investment Reluctance: Irreversibility or Imperfect Capital Markets? Evidence from German Farm Panel Data AgEcon
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
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IS THE "STANDARD REAL OPTIONS APPROACH" APPROPRIATE FOR INVESTMENT DECISIONS IN HOG PRODUCTION? AgEcon
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
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Microfinance for Agricultural Firms- Credit Access and Loan Repayment in Tanzania AgEcon
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
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