A proposal of a portfolio optimization model for the summer cultures.

作者：Dill Rodrigo Prante^*; de Souza Flavia Cruz; Borba Jose Alonso

来源：Custos e Agronegocio, 2010, 6(3): 90-110.

• Optimization
• Portfolio Theory
• Agribusiness

The objective of this study is to propose a model that uses the linear programming applied the Markowitz's Portfolio Theory (1952) for aid in the taking of decision regarding of summer cultures portfolio (soy, maize and sunflower) in an agricultural company. For the achievement of the objective, interviews and based documentary analysis in countable information had been carried through so that it was possible esteem the yield of each culture. After that, the historical series of prices between 2000 and 2005 of each one of the cultures was searched to calculate the correlation and in agreement risk the methodology proposal for the Portfolio Theory. Finally, with the aid of software, the function-objective was defined for identification of the portfolio with lesser risk and the biggest possible yield - given the restrictions. The results had demonstrated that, amongst the analyzed cultures of summer, the one that the best yield presented it was of the sunflower, followed of the maize and the soy. On the other hand, the culture of the sunflower was the one that presented the biggest risk. Moreover, the applicability of the considered model can be evidenced, a time that the same contemplates crucial aspects in the choice of the portfolio of summer cultures.

• 出版日期2010-12