Intertemporal portfolio choice: An application to agricultural investment

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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics, Agricultural

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Novak, Frank Steve

Contributors dc:contributor

• Taylor, C. Robert
• Lins, David A.

• Economics, Agricultural
• Economics, Finance

Statement dc:rights

• Copyright 1992 Novak, Frank Steve

Language dc:language

eng

Identifier

AAI9305639
(UMI)AAI9305639

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/23548