Fabio Mattos
Biographic Data
| ID | 1461370 |
|---|---|
| NAME | Fabio Mattos |
| GIVEN NAMES | Fabio |
| FAMILY NAME | Mattos |
| SIGNATURE | MATTOS F |
| AFFILIATIONS | University of Nebraska–Lincoln |
| ORCID | 0000-0001-8933-8953 |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
Measurement of Commodity Price Risk
This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other comm…
Use of crops and livestock futures contracts in portfolios
According to Portfolio Theory, by combining assets that show a correlation inferior to one (1) among their individual returns, it becomes possible to create portfolios that reduce risk without damaging expected return. Crop and livestock futures contracts and company stocks show such a characteristic, which signals potential benefits when forming portfolios combining these two types of assets. This investment strategy is not often utilized in Bra…
No prominent works on this page.
Use of crops and livestock futures contracts in portfolios
According to Portfolio Theory, by combining assets that show a correlation inferior to one (1) among their individual returns, it becomes possible to create portfolios that reduce risk without damaging expected return. Crop and livestock futures contracts and company stocks show such a characteristic, which signals potential benefits when forming portfolios combining these two types of assets. This investment strategy is not often utilized in Bra…
Measurement of Commodity Price Risk
This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other comm…
Economics (2 works) · Finance (2 works) · Finance (2 works) · Financial economics (2 works) · Futures contract (2 works) · Market Dynamics and Volatility (2 works) · Agribusiness (1 works) · Agricultural risk and resilience (1 works) · Agriculture (1 works) · Asset (computer security) (1 works)