IDEAS home Printed from
   My bibliography  Save this article

Structural breaks and agricultural asset allocation


  • Dustin L. Pendell
  • Allen M. Featherstone


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.

Suggested Citation

  • Dustin L. Pendell & Allen M. Featherstone, 2007. "Structural breaks and agricultural asset allocation," Agricultural Finance Review, Emerald Group Publishing, vol. 67(2), pages 259-278, November.
  • Handle: RePEc:eme:afrpps:v:67:y:2007:i:2:p:259-278

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.