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Geographical Diversification: An Application of Copula Based CVaR

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  • Larsen, Ryan A.
  • Leatham, David J.
  • Mjelde, James W.
  • Wolfley, Jared L.
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    File URL: http://purl.umn.edu/119533
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    Bibliographic Info

    Paper provided by Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition in its series Proceedings:2008 Agricultural and Rural Finance Markets in Transition, September 25-26, 2008, Kansas City, Missouri with number 119533.

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    Date of creation: 2008
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    Handle: RePEc:ags:nc1008:119533

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    Web page: http://www.agfin.ifas.ufl.edu/

    Related research

    Keywords: Risk and Uncertainty;

    References

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    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.:
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    1. Stoica, George, 2006. "Relevant coherent measures of risk," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 794-806, September.
    2. Mishra, Ashok K. & Lence, Sergio H., 2005. "Risk Management by Farmers, Agribusinesses, and Lenders," Staff General Research Papers 12607, Iowa State University, Department of Economics.
    3. Carrieri, Francesca & Errunza, Vihang & Sarkissian, Sergei, 2006. "The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?," Working Papers 06-4, University of Pennsylvania, Wharton School, Weiss Center.
    4. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
    5. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
    6. Zhu, Ying & Ghosh, Sujit K. & Goodwin, Barry K., 2008. "Modeling Dependence in the Design of Whole Farm---A Copula-Based Model Approach," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6282, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Stambaugh, Fred, 1996. "Risk and value at risk," European Management Journal, Elsevier, vol. 14(6), pages 612-621, December.
    8. Ani L. Katchova, 2005. "The Farm Diversification Discount," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 984-994.
    9. Zhang, Rui (Carolyn) & Houston, Jack E. & Vedenov, Dmitry V. & Barnett, Barry J., 2007. "Hedging Downside Risk to Farm Income with Futures and Options: Effects of Government Payment Programs and Federal Crop Insurance Plans," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9911, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Alexander, S. & Coleman, T.F. & Li, Y., 2006. "Minimizing CVaR and VaR for a portfolio of derivatives," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 583-605, February.
    11. Anthony Hatherley & Jamie Alcock, 2007. "Portfolio construction incorporating asymmetric dependence structures: a user's guide," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(3), pages 447-472.
    12. Steven C. Blank, 2002. "A Portfolio Of Threats To American Agriculture," Contemporary Economic Policy, Western Economic Association International, vol. 20(4), pages 381-393, October.
    13. Qian, Gongming, 2002. "Multinationality, product diversification, and profitability of emerging US small- and medium-sized enterprises," Journal of Business Venturing, Elsevier, vol. 17(6), pages 611-633, October.
    14. Liang, Nellie & Rhoades, Stephen A., 1988. "Geographic diversification and risk in banking," Journal of Economics and Business, Elsevier, vol. 40(4), pages 271-284, November.
    15. Hennessy, David A. & Lapan, Harvey E., 2002. "Use of Archimedean Copulas to Model Portfolio Allocations, The," Staff General Research Papers 5223, Iowa State University, Department of Economics.
    16. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    17. Mark R. Manfredo & Raymond M. Leuthold, 2001. "Market risk and the cattle feeding margin: An application of Value-at-Risk," Agribusiness, John Wiley & Sons, Ltd., vol. 17(3), pages 333-353.
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