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Title:Intertemporal portfolio choice: An application to agricultural investment
Author(s):Novak, Frank Steve
Doctoral Committee Chair(s):Taylor, C. Robert; Lins, David A.
Department / Program:Economics, Agricultural
Economics, Finance
Discipline:Economics, Agricultural
Economics, Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Agricultural
Economics, Finance
Abstract:This research analyzes optimal off-farm investment decisions for a Central Illinois hog farm in the presence of bankruptcy costs. Optimal decisions are derived using a stochastic dynamic programming (SDP) model which incorporates the stochastic dynamic nature of investment returns and the interrelationships between financial structure and investment decisions when the costs of bankruptcy are considered. Results suggest that in the presence of bankruptcy, financial structure and farm profitability have a strong influence on investment decisions. Investment in common stocks may increase terminal wealth with little increase in the probability of bankruptcy. Failure to account for bankruptcy costs in determining investment decisions results in very high probabilities of bankruptcy.
Issue Date:1992
Rights Information:Copyright 1992 Novak, Frank Steve
Date Available in IDEALS:2011-05-07
Identifier in Online Catalog:AAI9305639
OCLC Identifier:(UMI)AAI9305639

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