University of Illinois Urbana-Champaign

Intertemporal portfolio choice: An application to agricultural investment

Novak, Frank Steve

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https://hdl.handle.net/2142/23548

Description

Title
Intertemporal portfolio choice: An application to agricultural investment
Author(s)
Novak, Frank Steve
Issue Date
1992
Doctoral Committee Chair(s)
  • Taylor, C. Robert
  • Lins, David A.
Department of Study
  • Economics, Agricultural
  • Economics, Finance
Discipline
  • Economics, Agricultural
  • Economics, Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
  • Economics, Agricultural
  • Economics, Finance
Language
eng
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.
Type of Resource
text
Permalink
http://hdl.handle.net/2142/23548
Copyright and License Information
Copyright 1992 Novak, Frank Steve

Owning Collections

Graduate Dissertations and Theses at Illinois PRIMARY
Graduate Theses and Dissertations at Illinois
Dissertations - Agricultural and Consumer Economics