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Registros recuperados: 10
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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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Catastrophic crop insurance effectiveness: does it make a difference how yield losses are conditioned? AgEcon
Bokusheva, Raushan; Conradt, Sarah.
The study evaluates the effectiveness of a catastrophic drought-index insurance developed by applying two alternative methods - the standard regression analysis and the copula approach. Most empirical analyses obtain estimates of the dependence of crop yields on weather by employing linear regression. By doing so, they assume that the sensitivity of yields to weather remains constant over the whole distribution of the weather variable and can be captured by the effect of the weather index on the yield conditional mean. In our study we evaluate, whether the prediction of farm yield losses can be done more accurately by conditioning yields on extreme realisations of a weather index. Therefore, we model the dependence structure between yields and weather by...
Tipo: Presentation Palavras-chave: Catastrophic insurance; Weather-based insurance; Copula; Risk and Uncertainty; C18; Q14.
Ano: 2012 URL: http://purl.umn.edu/122443
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Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach AgEcon
Larsen, Ryan A.; Vedenov, Dmitry V.; Leatham, David J..
As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a copula dependence parameter into the VaR estimation. In addition, an alternative risk measure was also calculated, CVaR. The CVaR, unlike VaR, is a coherent risk measure. Thus it does not suffer from many of the shortcomings of the VaR. The land portfolio consisted of Dryland wheat production acres in Texas, Colorado, and Montana. Three series of net returns were calculated for each region. Based on the VaR and the CVaR, the portfolio was optimized based on minimizing the expected loss based on...
Tipo: Conference Paper or Presentation Palavras-chave: Copula; CVaR; Risk-Management; Geographical Diversification; Agribusiness; Farm Management; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/46763
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Health Insurance and Joint Off‐Farm Labor Allocation Decisions of Farm Families AgEcon
D'Antoni, Jeremy M.; Mishra, Ashok K..
Contact author to request a copy of this paper.
Tipo: Presentation Palavras-chave: Health insurance coverage; Endogeneity; Copula; Off-farm labor supply; Dependence; Bivariate tobit; Coupled farm programs payments; Decoupled farm program payments; Agribusiness; Farm Management; Food Security and Poverty; Labor and Human Capital; Public Economics; C34; I13; J12; J22; J38; J43; Q12; Q18.
Ano: 2012 URL: http://purl.umn.edu/119646
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Modeling Dependence in the Design of Whole Farm---A Copula-Based Model Approach AgEcon
Zhu, Ying; Ghosh, Sujit K.; Goodwin, Barry K..
The objective of this study is to evaluate and model the risks of corn and soybean production. This study focuses on the risk of revenue variability that arises from changes in prices, yields shortfalls or both. There are several models for price and yield risk factors for corn and soybeans. For instance, yield risks can be modeled by a family of Beta distributions, whereas price shocks can be modeled by log-normal distributions. In order to develop a multivariate model that preserves a given set of marginals, a copula approach can be used to characterize the joint yield and price risk of corn and soybeans, which are usually highly correlated. The copula approach has been spurred by the recent developments in the whole farm insurance (WFI), resulting in...
Tipo: Conference Paper or Presentation Palavras-chave: Copula; Crop Insurance; Loss Distribution; Farm Management.
Ano: 2008 URL: http://purl.umn.edu/6282
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Modelling farm production risk with copulae instead of correlations AgEcon
Schulte-Geers, Matthias; Berg, Ernst.
The optimisation of production plans is an important topic in agriculture, often related to diversification and specialisation as the classical instruments of coping with production risk. Although the measurement of embedded risk is often inaccurate, it is nevertheless necessary for decision making to describe the common behaviour of different variables in a model. Imprecisely defined relationships influence the “right” choice, why it is important to find a good approximation of the real circumstances. In financial science, copula functions are frequently used instead of correlation coefficients to model joint price behaviour, because of the possibility to link the marginal distributions on multifarious ways. By now, agricultural science makes less use of...
Tipo: Conference Paper or Presentation Palavras-chave: Copula; Risk; Weather derivatives; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/115996
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On the Systemic Nature of Weather Risk AgEcon
Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap.
Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results indicate that indemnity payments based on temperature as well as on cumulative rainfall show strong stochastic dependence even at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is limited. Irrespective of...
Tipo: Conference Paper or Presentation Palavras-chave: Weather risk; Crop insurance; Copula; Risk and Uncertainty; C14; Q19.
Ano: 2009 URL: http://purl.umn.edu/49131
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On the Systemic Nature of Weather Risk AgEcon
Xu, Wei; Filler, Gunther; Odening, Martin; Okhrin, Ostap.
Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic dependencies between multivariate random variables. The estimation procedure is applied to weather data in Germany. Our results indicate that indemnity payments based on temperature as well as on cumulative rainfall show strong stochastic dependence even at a national scale. Thus the possibility to reduce risk exposure by increasing the trading area of the insurance is limited. Irrespective of...
Tipo: Conference Paper or Presentation Palavras-chave: Weather risk; Crop insurance; Copula; Agribusiness; Agricultural Finance; Crop Production/Industries; Risk and Uncertainty; C14; Q19.
Ano: 2009 URL: http://purl.umn.edu/51426
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Power by simulation AgEcon
Feiveson, A.H..
This paper describes how to write Stata programs to estimate the power of virtually any statistical test that Stata can perform. Examples given include the t test, Poisson regression, Cox regression, and the nonparametric rank-sum test.
Tipo: Journal Article Palavras-chave: Power; Simulation; Random number generation; Postfile; Copula; Sample size; Research Methods/ Statistical Methods.
Ano: 2002 URL: http://purl.umn.edu/115955
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Quality Risk and Profitability in Cattle Production: A Multivariate Approach AgEcon
Belasco, Eric J.; Schroeder, Ted C.; Goodwin, Barry K..
This study evaluates quality, production, and price risk within the context of overall profit variability in fed cattle production. The approach used offers a flexible way to estimate a large system of equations with more than three jointly related censored outcomes. Trade-offs between quality and yield grade levels and production measures, such as average daily gain and feeding efficiency, are evaluated. Simulation procedures are used to assess the impact of quality risk on overall profit variability. Results make an important contribution to existing research by explaining why price signals through grid quality grade premiums may not generate intended producer responses.
Tipo: Journal Article Palavras-chave: Censoring; Copula; Fed cattle; Grid pricing; Multivariate; Quality risk; Livestock Production/Industries.
Ano: 2010 URL: http://purl.umn.edu/97854
Registros recuperados: 10
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