IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Futuros agropecuários em portfólios de máxima utilidade esperada

Listed author(s):
  • Silveira, Rodrigo Lanna Franco da
  • Barros, Geraldo Sant'Ana de Camargo
Registered author(s):

    This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between August of 1994 and December of 2007. From the optimal combinations of risk-return (calculated by Markowitz algorithm) and the use of a quadratic utility function (with different levels of risk aversion), were obtained portfolios that maximizes expected utility. The commodity futures were not present in the maximum expected utility portfolios for the complete period, 1994-2000. However, with division of sample in two and three periods, the commodity futures were included in these portfolios during the 2000s. Furthermore, in general, with the risk aversion increase, the participation of these papers in the portfolio had fall.

    If 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.

    File URL:
    Download Restriction: no

    Article provided by Federal University of Vicosa, Department of Agricultural Economics in its journal Revista de Economia e Agronegocio / Brazilian Review of Economics and Agribusiness.

    Volume (Year): 7 (2009)
    Issue (Month): 2 ()

    in new window

    Handle: RePEc:ags:rdeeag:56854
    Contact details of provider: Postal:
    Campus Universitário, 36571.000 - Viçosa - MG

    Phone: (031) 899-2215
    Fax: (031) 899-2219
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ags:rdeeag:56854. See general information about how to correct material in RePEc.

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.