Vine-copula Based Models for Farmland Portfolio ManagementEconomics Presentations, Posters and Proceedings
Document TypeConference Proceeding
Conference Title2016 Agricultural & Applied Economics Association Annual Meeting
Conference DateJuly 21-August 2, 2016
AbstractU.S. farmland has achieved total returns of 10%-13% over the past decade with volatility of only 4%-5% (NCREIF Farmland Index). In addition, farmland returns have had low or negative correlation with traditional asset classes. These characteristics make farmland an attractive asset class for investors. Farmland, as a real asset, can also provide a hedge against inflation because farmland returns exhibit positive correlation with inflation. Over the past decade, annual U.S. farmland total return exceeds U.S. inflation rate by 3.55% (NCREIF Farmland Index and Consumer Price Index - Urban). With growing global demand for agricultural commodities and limited land to expand capacity, some investors expect that farmland will continue to generate superior returns for the foreseeable future.
RightsCopyright 2016 by Xiaoguang Feng, Dermot J. Hayes. All rights reserved. Readers may make verbatim copies of this document for non-commercial purposes by any means, provided that this copyright notice appears on all such copies.
Copyright OwnerXiaoguang Feng, Dermot J. Hayes
Citation InformationXiaoguang Feng and Dermot J. Hayes. "Vine-copula Based Models for Farmland Portfolio Management" Boston, MA, United States(2016)
Available at: http://works.bepress.com/dermot_hayes/123/