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Avaliação de Retornos e Riscos na Comercialização de Milho: estudo de caso usando Value-at-Risk

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  • Moreira, Vilmar Rodrigues
  • Souza, Alceu
  • Duclós, Luiz Carlos

Abstract

In each of the productive chain links, finding viable strategies for risk mitigation is not a trivial task. Usually, generic strategies are adopted to reduce risks, such as diversification of crops and/or strategies aiming at transferring or diluting risk through futures contracts and insurance. This article aims to evaluate three strategies for managing risks concerning the corn trading: simultaneous buying and selling, storage and short selling. Towards the methodological procedures, this study is descriptive regarding its goal and it is a case study regarding the approach of the problem. Literature and documents were used as procedures for data collection, with coverage for the period of crops from 2003 to 2010. The Value at Risk (VaR) and Sharpe Ratio Modified, which is a variation of the Sharpe Ratio, were used to evaluate commercialization strategies. The results show that the highest returns for the storage would be obtained during winter seasons and for shorter periods. For the short selling, the return averages are similar for all time horizons. The simultaneous buying and selling showed the best risk/return ratio.

Suggested Citation

  • Moreira, Vilmar Rodrigues & Souza, Alceu & Duclós, Luiz Carlos, 2014. "Avaliação de Retornos e Riscos na Comercialização de Milho: estudo de caso usando Value-at-Risk," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 52(2), pages 1-20, June.
    • Handle: RePEc:ags:rdecag:185937
    DOI: 10.22004/ag.econ.185937
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    Agribusiness;

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