Retornos e riscos na comercialização de milho no Estado do Paraná: uma aplicação do modelo value-at-risk

This paper aimed to evaluate risk and returns of marketing strategies adopted by farmers, cooperatives and grain elevators in the State of Paraná, Brazil, using data for the period 1994-2001. For farmers, the only strategy analyzed was storage, while for coops and grain elevators three strategies we...

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Bibliographic Details
Published inEconomia aplicada Vol. 8; no. 3
Main Authors Edison Luiz Leismann, Danilo R. D. Aguiar, João Eustáquio de Lima
Format Journal Article
LanguagePortuguese
Published Universidade de São Paulo 01.07.2004
Subjects
marketing
return
risk
value-at-risk
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Summary:This paper aimed to evaluate risk and returns of marketing strategies adopted by farmers, cooperatives and grain elevators in the State of Paraná, Brazil, using data for the period 1994-2001. For farmers, the only strategy analyzed was storage, while for coops and grain elevators three strategies were considered: storage (EST), short selling (VD) and buying and selling simultaneously (CVS). The risk analyses were carried out by means of Value-at-Risk (VaR) models using three approaches: Normal Delta, Historical Simulation and Monte Cario Simulation. The returns were weighted with a modified version of the Sharpe Index (/5 ), generating an index of probabilistic returns. In the period analyzed, storage was not viable for farmers'as well as for grain elevators. The VD strategy was profitable without taking risk into consideration. CVS is the best strategy when only strategies with ASj, larger than one are considered profitable.
ISSN:1413-8050
1980-5330