Sabiia Seb
PortuguêsEspañolEnglish
Embrapa
        Busca avançada

Botão Atualizar


Botão Atualizar

Ordenar por: RelevânciaAutorTítuloAnoImprime registros no formato resumido
Registros recuperados: 22
Primeira ... 12 ... Última
Imagem não selecionada

Imprime registro no formato completo
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
Imagem não selecionada

Imprime registro no formato completo
Accruals Anomaly in Agriculture Financial Economics AgEcon
Arthur, Bruno R.; Katchova, Ani L..
DO NOT CITE THIS DRAFT. Updated version formally published as: Arthur, B. R., Katchova, A. L. (2015). Accrual Anomaly for Agribusiness Stocks. Agribusiness: an International Journal, 31(3), 372–387.
Tipo: Presentation Palavras-chave: Stock returns; Financial assets in agriculture; Accrual anomaly; Agricultural Finance; Q14; G11.
Ano: 2012 URL: http://purl.umn.edu/119822
Imagem não selecionada

Imprime registro no formato completo
An empirical comparison of different risk measures in portfolio optimization AgEcon
Hoe, Lam Weng; Saiful Hafizah, Jaaman; Zaidi, Isa.
Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the mean-variance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization. However, the mean-variance model relies strictly on the assumptions that assets returns are multivariate normally distributed or investors have a quadratic utility function. Many studies have proposed different risk measures to overcome the drawbacks of variance. The purpose of this paper is to discuss and compare the portfolio compositions and performances of four different portfolio optimization models employing different risk measures, specifically the variance, absolute deviation, minimax and semi-variance. Results...
Tipo: Journal Article Palavras-chave: Portfolio; Optimization; Risk measures; Variance.; Financial Economics; CO2; C61; G11.
Ano: 2010 URL: http://purl.umn.edu/95934
Imagem não selecionada

Imprime registro no formato completo
Are Higher 529 College Savings Plan Fees Linked to Greater State Tax Incentives? AgEcon
Bogan, Vicki.
Despite the fact that 529 College Savings Plans have existed for over a decade, there has been limited scholarly attention on investment questions related to this savings vehicle. In some of the first academic literature on this topic, Alexander and Luna (Supplement 2005) identified a surprising relationship between 529 College Savings Plan participation and plan fees. They found a positive relationship between participation rates and fees. While they link this counterintuitive result to plan marketing efforts by brokers, I propose an alternative view. In my data which covers a five year time span, I find no significant relationship between participation rates and fees. However, when investigating the tax incidence with respect to 529 plans, I find a...
Tipo: Working or Discussion Paper Palavras-chave: 529 College Savings Plan; State tax rate; Financial Economics; G10; G11; H24; I22.
Ano: 2008 URL: http://purl.umn.edu/51127
Imagem não selecionada

Imprime registro no formato completo
Are Our Agricultural Risk Management Tools Adequate for a New Era? AgEcon
Barnett, Barry J.; Coble, Keith H..
Tipo: Journal Article Palavras-chave: Risk; Commodity programs; Insurance; Agricultural Finance; Risk and Uncertainty; D80; G11; Q18.
Ano: 2008 URL: http://purl.umn.edu/94700
Imagem não selecionada

Imprime registro no formato completo
Benchmark Yield Undershooting in the E.M.U. AgEcon
Antzoulatos, Angelos A..
With the elimination of foreign exchange risk among the E.M.U.-member countries, the yield of, say, French benchmark government bonds (henceforth, the yield) should be equal to that of German bonds, plus some credit and liquidity premia. Since both premia are not likely to change substantially from one day to the other, the yield should move in tandem with the German one and the corresponding spread should remain relatively stable. Yet, the yield exhibits a small but economically and statistically significant undershooting in response to changes in the German one, as a result of which the spread tends to decline when the latter increases, and vice-versa. We propose that the undershooting is the product of lagged adjustment in the European bond portfolios...
Tipo: Working or Discussion Paper Palavras-chave: Benchmark Government Bonds; E.M.U.; Credit and Liquidity Premia; Bid/Ask Spread; Financial Economics; E43; F36; G11; G15.
Ano: 2002 URL: http://purl.umn.edu/26207
Imagem não selecionada

Imprime registro no formato completo
Determinants of the Strength of Strategic Adjustments in Farm Capital Structure AgEcon
Escalante, Cesar L.; Barry, Peter J..
This study employs correlation relationships to measure the strength of trade-offs between business and financial risks as a representative of the strategic capital adjustment process. Under different business risk measures based on varying lengths of historical farm income data, results suggest that farmers tend to adopt a myopic perspective when contemplating risk-balancing plans. Cross-sectional regression results for two-time period models covering the decade of the 1980s and 1990s yielded important implications. The liquidity-constrained environment of the 1980s emphasizes the combination of risk-balancing plans, specialization, and market revenue-enhancing strategies. In the 1990s, risk balancing becomes compatible with risk-reducing crop...
Tipo: Journal Article Palavras-chave: Business risk; Correlation coefficient measure of risk balancing; Expected utility mean variance model; Financial risk; Risk management strategy; Stochastic interest rates; Strategic capital adjustment; D21; D81; G11; Q12; Q14.
Ano: 2003 URL: http://purl.umn.edu/37834
Imagem não selecionada

Imprime registro no formato completo
Enhancing Farm Profitability through Portfolio Analysis: The Case of Spatial Rice Variety Selection AgEcon
Nalley, Lawton Lanier; Barkely, Andrew; Watkins, Brad; Hignight, Jeffrey A..
This study applies portfolio theory to rice varietal selection decisions to find profit maximizing and risk minimizing outcomes. Results based on data from six counties in the Arkansas Delta for the period 1999–2006 suggest that sowing a portfolio of rice varieties could have increased profits from 3 to 26% (depending on the location) for rice producers in the Arkansas Delta. The major implication of this research is that data and statistical tools are available for rice producers to improve the choice of rice varieties to plant each year in specific locations. Specifically, there are large potential gains from combining varieties that are characterized by inverse yield responses to growing conditions such as drought, pest infestation, or the presence of a...
Tipo: Journal Article Palavras-chave: Optimal variety selection; Portfolio analysis; Rice; Agribusiness; Crop Production/Industries; Farm Management; Production Economics; Productivity Analysis; Risk and Uncertainty; G11; Q15; Q12.
Ano: 2009 URL: http://purl.umn.edu/56650
Imagem não selecionada

Imprime registro no formato completo
Financial Innovation and Financial Fragility AgEcon
Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert.
We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive. Financial innovation can make both investors and...
Tipo: Working or Discussion Paper Palavras-chave: Financial Innovation; Financial Fragility; Securities; Risks; Financial Economics; G; G11; G15; G2.
Ano: 2010 URL: http://purl.umn.edu/96496
Imagem não selecionada

Imprime registro no formato completo
Financing Constraints and the Family Farm: How do Families React? AgEcon
Hartarska, Valentina M.; Mai, Chi.
This paper explores the idea that off-farm income is used for investment in farm assets. Using Alabama farm data for the 1997-2004 period, we find that farm investment is more sensitive to off-farm than to on-farm income, and that this sensitivity is stronger for farms with sales less than $250,000.
Tipo: Conference Paper or Presentation Palavras-chave: Farm Management; Q12; Q14; G11.
Ano: 2008 URL: http://purl.umn.edu/6861
Imagem não selecionada

Imprime registro no formato completo
Hedging Alberta Government's Oil and Gas Revenue: Is Acting Like a Farmer a Viable Strategy? AgEcon
Hotz, Joffre; Unterschultz, James R..
The provincial government of Alberta in Canada experiences significant annual revenue variability arising from changes in crude oil and natural gas prices. This research evaluated whether Alberta’s non-renewable revenue risk could be managed using a derivatives hedging program. Results from a historical hedging simulation approach suggested that such a program would not have been the most effective method of managing revenue risk over the period of 1995-96 to 2003-04. Total impacts of hedging would have varied from Can-$8 Billion to Can $6 Billion over this time period. These results suggest the Alberta government explore alternative methods to manage non-renewable resource revenue risk.
Tipo: Working or Discussion Paper Palavras-chave: Government Hedging; Risk Hedging; Public Economics; Resource /Energy Economics and Policy; Risk and Uncertainty; Q480; G11.
Ano: 2009 URL: http://purl.umn.edu/91401
Imagem não selecionada

Imprime registro no formato completo
Investment Decisions and Offspring Gender AgEcon
Bogan, Vicki.
Economic research has documented many economic affects of offspring gender on parental behavior. However, an open question exists as to whether offspring gender has any influence on parental investment decision making. Specifically, I investigate whether female offspring have an impact on investment decisions with respect to stock and bondholding. Using a panel data set, I find that for male respondents, having only female offspring increases the probability of stockholding by over 17%. In contrast, a relationship between stockholding and offspring gender was not at all present for female respondents.
Tipo: Working or Discussion Paper Palavras-chave: Financial Economics; G11; D14.
Ano: 2009 URL: http://purl.umn.edu/48923
Imagem não selecionada

Imprime registro no formato completo
Lump Sum versus Annuity: Choices of Kentucky Farmers during the Tobacco Buyout Program AgEcon
Pushkarskaya, Helen N.; Marshall, Maria I..
Our study uses the data collected during the implementation of the tobacco buyout program in Kentucky to evaluate how rural households, diverse in income, age, family structure, location, education level, and other characteristics, made a choice between annuities and a lump-sum payment. Subjects in our field experiment did not have to retire or change their employment, as did subjects in many field studies of the choice between annuities and lump-sum payments, which allowed us to evaluate the relationship between the option choice and a decision whether to exit the tobacco market. Our results suggest that while discounted utility theory gives acceptable predictions of the farmers’ behavior, other factors have to be taken into consideration. First, there...
Tipo: Journal Article Palavras-chave: Annuity; Family business system; Intertemporal choice; Lump sum; Tobacco buyout; Agribusiness; Consumer/Household Economics; Institutional and Behavioral Economics; Marketing; G11; H31; J10.
Ano: 2009 URL: http://purl.umn.edu/56647
Imagem não selecionada

Imprime registro no formato completo
Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model AgEcon
Ritter, Matthias; Musshoff, Oliver; Odening, Martin.
Weather risk is one of the main causes for income fluctuation in agriculture. Since 1997, the economic consequences of weather risk can be insured with weather derivatives, which are offered for many different weather events, such as temperature, rainfall, snow or hurricanes. It is well known that the hedging effectiveness of weather derivatives is interfered by the existence of geographical basis risk, i.e., the deviation of weather conditions at different locations. In this paper, we explore how geographical basis risk of rainfall based derivatives can be reduced by regional diversification. Minimizing geographical basis risk requires knowledge of the joint distribution of rainfall at different locations. For that purpose, we estimate a daily multi-site...
Tipo: Presentation Palavras-chave: Management; Weather risk; Regional diversification; Portfolio weights; Risk and Uncertainty; G11; Q14; G32.
Ano: 2012 URL: http://purl.umn.edu/122527
Imagem não selecionada

Imprime registro no formato completo
Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough? AgEcon
Cabrini, Silvina M.; Stark, Brian G.; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes.
This study analyzes the potential risk-reduction gains from naïve diversification among market advisory services for corn and soybeans. The total possible decrease in risk through naïve diversification is small, mainly because advisory prices are highly correlated on average. Moreover, because marginal risk-reduction benefits decrease rapidly with size and the cost of holding the portfolios increases linearly due to services’ subscription fees, it is optimal to limit portfolio size to a few advisory programs. Based on certainty equivalent measures and two representative risk-aversion levels, preferred portfolio sizes are between one and three programs.
Tipo: Journal Article Palavras-chave: Corn; Diversification; Market advisory service; Portfolio; Soybeans; Agricultural Finance; Crop Production/Industries; Marketing; G11; Q10; Q12; Q14.
Ano: 2005 URL: http://purl.umn.edu/43717
Imagem não selecionada

Imprime registro no formato completo
RISK IN AGRICULTURE AS IMPEDIMENT TO RURAL LENDING - THE CASE OF NORTH-WESTERN KAZAKHSTAN AgEcon
Petrick, Martin; Ditges, C. Markus.
On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk exposition of a typical farm, (b) to show that an inflow of working capital could contribute to risk reduction, and (c) to illustrate short-term risk management strategies. Although there may be a role for the government in reducing risk exposition of agriculture in its current form, natural and economic constraints suggest to pave the way for structural reforms that reduce the importance of agriculture in the rural economy. .
Tipo: Working or Discussion Paper Palavras-chave: Agricultural credit; Kazakhstan; Portfolio selection theory; Risk programming; Agricultural Finance; Q14; G11; C61.
Ano: 2000 URL: http://purl.umn.edu/14939
Imagem não selecionada

Imprime registro no formato completo
Signaling Credit Risk in Agriculture: Implications for Capital Structure Analysis AgEcon
Zhao, Jianmei; Barry, Peter J.; Katchova, Ani L..
Signaling is an important element in the lender-borrower relationship that influences the cost and availability of debt capital to agricultural borrowers. This paper analyzes the effects of signaling on farm capital structure in conjunction with the pecking order and trade-off theories. The aggregate estimation indicates that signaling does affect agricultural credit relationships through measures of past cash flow and profitability. High-quality borrowers achieve greater credit capacity by providing lenders with valid signals of their financial status, while adjusting toward target debt levels over time and following the pecking order relationship in the short run.
Tipo: Journal Article Palavras-chave: Farm businesses; Pecking order theory; Signaling theory; Trade-off theory; Agribusiness; Risk and Uncertainty; G11; G32; Q14.
Ano: 2008 URL: http://purl.umn.edu/47260
Imagem não selecionada

Imprime registro no formato completo
That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907 AgEcon
Chabot, Benjamin; Kurz, Christopher.
Why did Victorian Britain invest so much capital abroad? We collect over 500,000 monthly returns of British and foreign securities trading in London and the United States between 1866 and 1907. These heretofore-unknown data allow us to better quantify the historical benefits of international diversification and revisit the question of whether British Victorian investor bias starved new domestic industries of capital. We find no evidence of bias. A British investor who increased his investment in new British industry at the expense of foreign diversification would have been worse off. The addition of foreign assets significantly expanded the mean-variance frontier and resulted in utility gains equivalent to a meaningful increase in lifetime consumption.
Tipo: Working or Discussion Paper Palavras-chave: Capital markets; Home bias; History; Victorian overseas investment; Financial Economics; Risk and Uncertainty; E44; F22; G11; G15; N21; N23; O16.
Ano: 2009 URL: http://purl.umn.edu/50950
Imagem não selecionada

Imprime registro no formato completo
The Impact of Price-Induced Hedging Behavior on Commodity Market Volatility AgEcon
Kauffman, Nathan S.; Hayes, Dermot J..
The utility maximization problem of a grain producer is formulated and solved numerically under prospect theory as an alternative to expected utility theory. Conventional theory posits that the optimal hedging position of a producer is not affected solely due to changes in the level of futures prices. However, a strong degree of positive correlation is apparent in the data. Our results show that with prospect theory serving as the underlying behavioral framework, the optimal hedge of a producer is affected by changes in futures price levels. The implications of this price-induced hedging behavior on spot prices and volatility are subsequently considered.
Tipo: Conference Paper or Presentation Palavras-chave: Futures markets; Hedging; Prospect theory; Risk preferences; Agribusiness; Institutional and Behavioral Economics; Risk and Uncertainty; D03; D81; G11; Q13.
Ano: 2011 URL: http://purl.umn.edu/103242
Imagem não selecionada

Imprime registro no formato completo
The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices AgEcon
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L..
Cash and futures prices should reach equality, or converge, upon contract maturity. Traders can impose convergence during the delivery month through arbitrage behavior: either making or taking delivery on futures contracts. If convergence is not predictable, a futures market fails to provide a clear storage signal to potential inventory holders and reduces the attractiveness of hedging. Recent convergence problems in domestic commodity markets demonstrate the existence of persistent, significant arbitrage opportunities over the second half of the last decade. Yet, terminal elevator operators—perhaps the only participants with the capacity to do so—have not arbitraged away these riskless returns by making enough deliveries. This model demonstrates...
Tipo: Conference Paper or Presentation Palavras-chave: Convergence; Arbitrage; Portfolio Theory; Storage; Agricultural Finance; Financial Economics; Risk and Uncertainty; G11; D21; Q14.
Ano: 2010 URL: http://purl.umn.edu/61040
Registros recuperados: 22
Primeira ... 12 ... Última
 

Empresa Brasileira de Pesquisa Agropecuária - Embrapa
Todos os direitos reservados, conforme Lei n° 9.610
Política de Privacidade
Área restrita

Embrapa
Parque Estação Biológica - PqEB s/n°
Brasília, DF - Brasil - CEP 70770-901
Fone: (61) 3448-4433 - Fax: (61) 3448-4890 / 3448-4891 SAC: https://www.embrapa.br/fale-conosco

Valid HTML 4.01 Transitional