SciELO - Scientific Electronic Library Online

 
vol.41 número1Financial risk monitoring and transaction costs in coffee & soybean trading companies and processors índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados

Journal

Artigo

Indicadores

Links relacionados

Compartilhar


Revista de Economia e Sociologia Rural

versão impressa ISSN 0103-2003versão On-line ISSN 1806-9479

Resumo

MATTOS, Fabio L.  e  FERREIRA FILHO, Joaquim Bento de Souza. Use of crops and livestock futures contracts in portfolios: an analysis of feasibility. Rev. Econ. Sociol. Rural [online]. 2003, vol.41, n.1, pp.117-138. ISSN 1806-9479.  http://dx.doi.org/10.1590/S0103-20032003000100001.

According to Portfolio Theory, by combining assets that show a correlation inferior to one (1) among their individual returns, it becomes possible to create portfolios that reduce risk without damaging expected return. Crop and livestock futures contracts and company stocks show such a characteristic, which signals potential benefits when forming portfolios combining these two types of assets. This investment strategy is not often utilized in Brazil. The purpose of our research was to assess whether such an asset combination is actually advantageous to those creating investment portfolios in the Brazilian market. Our evaluation used instruments of analysis developed by Markowitz in Portfolio Theory and data about the return from crop and livestock futures contracts and stocks. The data was gathered from the Brazilian Futures and Commodities Exchange (BM&F) and Brazil’s National Association of Open Market Institutions (ANDIMA) between July 1994 and December 1998. The results of this work showed that the combination of these two types of assets in investment portfolios can be an interesting portfolio management alternative.

Palavras-chave : portfolio; crops; livestock futures contracts; Markowitz.

        · texto em Inglês

 

Creative Commons License Todo o conteúdo deste periódico, exceto onde está identificado, está licenciado sob uma Licença Creative Commons