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| Registros recuperados: 154 | |
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| 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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| Bekkerman, Anton; Pelletier, Denis. |
| The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13. |
| Ano: 2009 |
URL: http://purl.umn.edu/49281 |
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| Knoblauch, Wayne A.; Putnam, Linda D.; Karszes, Jason. |
| Business and financial records for 2002 from 219 New York dairy farm businesses are summarized and analyzed. This analysis demonstrates the use of cash accounting with accrual adjustments to measure farm profitability, financial performance, and costs of producing milk. Traditional methods of analyzing dairy farm businesses are combined with evaluation techniques that show the relationship between good management performance and financial success. The farms in the project averaged 297 cows per farm and 22,312 pounds of milk sold per cow, which represent above average size and management level for New York dairy farms. Net farm income excluding appreciation, which is the return to the operator's labor, management, capital, and other unpaid family labor,... |
| Tipo: Technical Report |
Palavras-chave: BUSINESS ANALYSIS; DAIRY MANAGEMENT; FARM BUSINESS SUMMARY; NEW YORK FARMS; Livestock Production/Industries; Q12; Q14. |
| Ano: 2003 |
URL: http://purl.umn.edu/122110 |
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| Knoblauch, Wayne A.; Putnam, Linda D.; Karszes, Jason. |
| Business and financial records for 2003 from 201 New York dairy farm businesses are summarized and analyzed. This analysis demonstrates the use of cash accounting with accrual adjustments to measure farm profitability, financial performance, and costs of producing milk. Traditional methods of analyzing dairy farm businesses are combined with evaluation techniques that show the relationship between good management performance and financial success. The farms in the project averaged 314 cows per farm and 22,302 pounds of milk sold per cow, which represent above average size and management level for New York dairy farms. Net farm income excluding appreciation, which is the return to the operator's labor, management, capital, and other unpaid family labor,... |
| Tipo: Technical Report |
Palavras-chave: BUSINESS ANALYSIS; DAIRY MANAGEMENT; FARM BUSINESS SUMMARY; NEW YORK FARMS; Livestock Production/Industries; Q12; Q14. |
| Ano: 2004 |
URL: http://purl.umn.edu/122107 |
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| Registros recuperados: 154 | |
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