文章基本信息

标题：Avaliação de Retornos e Riscos na Comercialização de Milho: estudo de caso usando Value-at-Risk
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作者：Moreira, Vilmar Rodrigues ; Souza, Alceu ; Duclós, Luiz Carlos 等
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2014
页码：303-322
出版社：Journal of Agribusiness
摘要：In each of the productive chain links, finding viable strategies for risk mitigation is not a trivial task. Usually, generic strategies are adopted to reduce risks, such as diversification of crops and/or strategies aiming at transferring or diluting risk through futures contracts and insurance. This article aims to evaluate three strategies for managing risks concerning the corn trading: simultaneous buying and selling, storage and short selling. Towards the methodological procedures, this study is descriptive regarding its goal and it is a case study regarding the approach of the problem. Literature and documents were used as procedures for data collection, with coverage for the period of crops from 2003 to 2010. The Value at Risk (VaR) and Sharpe Ratio Modified, which is a variation of the Sharpe Ratio, were used to evaluate commercialization strategies. The results show that the highest returns for the storage would be obtained during winter seasons and for shorter periods. For the short selling, the return averages are similar for all time horizons. The simultaneous buying and selling showed the best risk/return ratio.
关键词：Value-at-Risk (VaR);Sharpe Ratio;risk management;agribusiness risks.