Spatial Competition, Arbitrage, and Risk in U.S. Soybeans

Spatial Competition, Arbitrage, and Risk in U.S. Soybeans

This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified. Results show that spatial-arbitrage payoffs vary regionally. Sensitivity results indicate tha...

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Veröffentlicht in:Journal of Agricultural and Resource Economics 2015-09, Vol.40 (3), p.442-456
Hauptverfasser: Skadberg, Kristopher, Wilson, William W, Larsen, Ryan, Dahl, Bruce
Format: Artikel
Sprache:eng
Schlagworte:
agricultural subsidies
Arbitrage
Commodities
copula
crop insurance premiums
Crop Production/Industries
Crude oil
Crude oil prices
Exports
farmer welfare
Futures
Hydraulic fracturing
International trade
Monte Carlo method
Monte Carlo simulation
Optimization
risk
risk management agency
Soybeans
spatial arbitrage
spatial competition
Supply chains
trading strategies
Vertical integration
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Beschreibung
Zusammenfassung:This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified. Results show that spatial-arbitrage payoffs vary regionally. Sensitivity results indicate that payoffs and risks increase as firms become more vertically integrated.
ISSN:1068-5502
2327-8285
DOI:10.22004/ag.econ.210550