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Geographical Diversification: An Application of Copula Based CVaR

  • 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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    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
    Contact details of provider: Web page: http://www.agfin.ifas.ufl.edu/

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    1. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    2. Stoica, George, 2006. "Relevant coherent measures of risk," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 794-806, September.
    3. Katchova, Ani L., 2004. "The Farm Diversification Discount," 2004 Annual meeting, August 1-4, Denver, CO 20068, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. 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.
    5. Blank, Steven C., 2000. "A Portfolio Of Threats To American Agriculture," 2000 Annual Meeting, June 29-July 1, 2000, Vancouver, British Columbia 36349, Western Agricultural Economics Association.
    6. Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
    7. Stambaugh, Fred, 1996. "Risk and value at risk," European Management Journal, Elsevier, vol. 14(6), pages 612-621, December.
    8. 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.
    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. 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.
    11. Ashok K. Mishra & Sergio H. Lence, 2005. "Risk management by farmers, agribusinesses, and lenders," Agricultural Finance Review, Emerald Group Publishing, vol. 65(2), pages 131-148, July.
    12. 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).
    13. 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.
    14. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    15. 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.
    16. 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.
    17. 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.
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