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Investing in Agriculture as an Asset Class
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Investing in Agriculture as an Asset Class (2014)Investing in Agriculture as an Asset ClassBasel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Minimizing CVaR and VaR for a portfolio of derivatives (2005)Minimizing CVaR and VaR for a…Measures of risk (2004)Measures of riskCopula Methods in Finance (2004)Copula Methods in FinanceA Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Economic implications of usin…Optimal portfolio selection in a Value-at-Risk framework (2001)Optimal portfolio selection i…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Correlations and Copulas for Decision and Risk Analysis (1999)Correlations and Copulas for …Coherent Measures of Risk (1999)Coherent Measures of RiskAre Crop Yields Normally Distributed? 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The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? 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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,812 cited
  • 1952Safety First and the Holding of Assets2,555 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,494 cited
  • 2004Copula Methods in Finance2,020 cited
  • 2010Basel Committee On Banking Supervision1,610 cited
  • 1971A Linear Alternative to Quadratic and Semivariance Programming for Farm Planning under Uncertainty439 cited
  • 1999Correlations and Copulas for Decision and Risk Analysis344 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
  • 2001Optimal portfolio selection in a Value-at-Risk framework319 cited
  • 1999Are Crop Yields Normally Distributed?282 cited
  • 2005Minimizing CVaR and VaR for a portfolio of derivatives243 cited
  • 1980Capital Asset Pricing and Farm Real Estate135 cited
  • 2004Measures of risk

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  • 2016From financialization to operations of capital: Historicizing and disentangling the finance–farmland-nexus197 cited
  • 2018This can(’t) be an asset class: The world of money management, “society”, and the contested morality of farmland investments99 cited
  • 2016Hedging strategy for ethanol processing with copula distributions10 cited