Estratégias de comercialização de arroz a partir da diversificação do período de venda

An analysis on rice-trading strategies considering the period of selling

Authors: Carlos Eduardo Lobo e Silva

Luís Davi Siqueira
Keywords:: Arroz, comercialização, teoria de carteiras.
Abstract: ABSTRACT This work uses the portfolio theory to analyze the strategies of commercialization of rice in terms of risk and return, considering different periods of commercialization as different assets. Initially, this study builds an efficient frontier of portfolios as proposed by Markowitz (1952). Moreover, it uses the CAPM to analyze and compare those strategies mentioned previously. The results confirm the gains that diversification can bring in terms of risk and return. Specifically in the case of the Markowitz model (1952), March and November were the two periods more relevant for the portfolios belonging to the efficient frontier. CAPM model finds similar results and identifies May, December, and January as months with satisfactory returns as well. Key words: Rice; trading; Portfolio Theory. Classificação JEL: Q11 e Q14 Artigo recebido em nov. 2010 e aceito para publicação em jun. 2011.
Downloads: PDF (Portuguese)
Additional Files: Tabelas relativas às figuras e gráficos (Portuguese)
Published: 2011-11-16
Issue: Vol. 32 No. 2 (2011)
Section: Artigos
License: A remessa dos artigos à revista implica a cessão dos direitos autorais à FEE.