Structural breaks and agricultural asset allocation
Structural breaks have been found to have large effects on optimal investment allocations. This analysis empirically tests for a structural break and then evaluates the impact the break has on the optimal allocation of agricultural and nonagricultural investments using a mean-variance model. Results indicate nonfarm investors could enhance their portfolios by investing in farm assets. However, the results suggest that the allocation of assets prior to the structural break in the early 1950s is much greater than the time period following the break and the entire 1926-2004 time period. Typically, portfolio research has not tested for structural breaks and this may adversely affect decisions on investment allocation.
Volume (Year): 67 (2007)
Issue (Month): 2 (November)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=afr Email:
When requesting a correction, please mention this item's handle: RePEc:eme:afrpps:v:67:y:2007:i:2:p:259-278. 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: (Virginia Chapman)
If references are entirely missing, you can add them using this form.