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Title
Agribusiness Assets in Investment Portfolios
Keywords
Investment in agribusiness assets has grown significantly in recent years. The
question of interest is whether including agribusiness assets in investment portfolios
provide benefits. The effects of diversification by including agribusiness assets in two
investment portfolios; a mixed asset portfolio and a diversified share portfolio was
investigated using Markowitz’s (1952) Modern Portfolio Theory of mean-variance
optimization; To measure the performance of agribusiness assets; an index of
agribusiness companies listed on the Australian Stock Exchange was used. The results
of the study suggested that agribusiness assets provided some diversification benefits
in both the mixed asset and diversified share portfolio. The benefits of including
agribusiness assets in a mixed asset portfolio were seen to be much more significant
than those in the diversified share portfolio. Allocations of agribusiness in the
portfolios tended to increase with portfolio risk; up to a peak of 32.10% agribusiness
assets in the mixed asset portfolio; with allocations tending to decrease with
increasing risk in the diversified share portfolio; peaking at a 17.72% allocation in the
minimum risk portfolio. For both the portfolios analysed; agribusiness assets entered
efficient portfolios at the minimum risk portfolio.
Subject(s)
Issue Date
2006
Publication Type
Conference Paper/ Presentation
DOI and Other Identifiers
10.22004/ag.econ.139794
Record Identifier
https://ageconsearch.umn.edu/record/139794
PURL Identifier
http://purl.umn.edu/139794
Language
English
Total Pages
54