The Role of Agribusiness Assets in Investment Portfolios
AbstractInvestment in agribusiness assets has grown significantly in recent years. The question of interest is whether including agribusiness assets in investment portfolios provide benefits. The effects of diversification by including agribusiness assets in two investment portfolios, a mixed asset portfolio and a diversified share portfolio was investigated using Markowitzâ€™s (1952) Modern Portfolio Theory (MPT) of mean-variance optimization. To measure the performance of agribusiness assets, an index of agribusiness companies listed on the Australian Stock Exchange was used. The results of the study suggested that agribusiness assets provided some diversification benefits in both the mixed asset and diversified share portfolio. The benefits of including agribusiness assets in a mixed asset portfolio were shown to be more significant than in a diversified share portfolio. Allocations of agribusiness assets in the portfolios tended to increase with portfolio risk, up to a peak of 32.10% agribusiness assets in the mixed asset portfolio, with allocations tending to decrease with increasing risk in the diversified share portfolio, peaking at a 17.72% allocation in the minimum risk portfolio. For both the portfolios analysed, agribusiness assets entered efficient portfolios at the minimum risk portfolio.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Melbourne, Melbourne School of Land and Environment in its journal Australasian Agribusiness Review.
Volume (Year): 14 (2006)
Issue (Month): ()
Contact details of provider:
Web page: http://www.agrifood.info/review/
Agribusiness assets; investment portfolios; mixed asset portfolio; diversified share portfolio; Markowitz's Modern Portfolio Theory; mean variance optimization; MPT; Australian Stock Exchange; ASX; Agribusiness; Agricultural Finance; Farm Management; Production Economics; Research Methods/ Statistical Methods; Teaching/Communication/Extension/Profession; ISSN 1442-6951;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David A. Lins & Bruce J. Sherrick & Aravind Venigalla, 1992. "Institutional Portfolios: Diversification through Farmland Investment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 20(4), pages 549-571.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
- Hardin, William G, III & Cheng, Ping, 2002. "Farmland Investment under Conditions of Certainty and Uncertainty," The Journal of Real Estate Finance and Economics, Springer, vol. 25(1), pages 81-98, July.
- Barberis, Nicholas & Shleifer, Andrei, 2003.
Journal of Financial Economics,
Elsevier, vol. 68(2), pages 161-199, May.
- James R. Webb & Jack H. Rubens, 1988. "The Effect of Alternative Return Measures on Restricted Mixed-Asset Portfolios," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(2), pages 123-137.
- Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
- Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.