On t.p.: Masters of Agricultural management. / Thesis (MAgricAdmin)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The need to take account of risk in agriculture must be part of every decision taken in
agriculture. Yet risk is nothing to be too afraid of Risk is a choice rather than a fate.
The actions we dare to take, which depend on how free we are to make choices, are what
the theory of risk is all about. The task is rather to manage risk effectively, within the
capacity of the farmer, business or group in order to withstand adverse outcomes. Some
methods of managing risks are feasible for all types of farms. Others are only feasible for
certain sizes and types of farms. Therefore, farmers in general need a systematic
technique that will enable them to choose an efficient investment strategy from among all
feasible strategies. Specifically, given n risky assets (such as the different enterprises in
the PaarlIBerg River region), it is essential to seek a diversification strategy which yields
a portfolio lying on the efficient frontier.
The research question was whether different diversification models (Markowitz
diversification model, Single Index Model and the Capital Asset Pricing Model) that are
normally applied in capital markets for the construction of optimal diversified portfolios
consisting out of different shares, are also applicable on risky portfolios in agriculture
comprising different enterprises in the PaarlIBerg River region.
The efficient frontier can be seen as the graphical representation of a set of portfolios that
maximize expected return for each level of portfolio risk. The Microsoft Excel portfolio
optimiser (SOLVER) programme was used to illustrate the investment proportions,
expected returns, and standard deviations of the portfolios ofthe efficient frontier.
The Single Index Model (SIM) can be used as an alternative to Markowitz diversification
model. It drastically reduces the number of parameters needed to be estimated and yields
the efficient set relatively easily without the technical difficulties characterising the fullrank
solution. However, if the SIM assumptions are in contradiction to the actual data,
the simplification of the calculations is achieved at the cost of getting imprecise results.
The simplicity of SIM calculations was attained at a cost of constructing a sub-optimal
portfolio, which does not lie on the corresponding efficient frontier.
The Capital Asset Pricing Model (CAPM) reveals that there is a great deal of systematic
risk in relation to the portfolio enclosed in this study. By using the CAPM it is possible
to determine which part of the risk the producer can control (non-systematic risk) and
which part the producer has no control over (systematic risk). The proportions of
systematic risk that can be diversified away are small, relative to the total risk of the
Farm Sector Portfolio.
The success of these models depends on the efficiency of the market, as weU as a large,
up-to-date and reliable data source. Many younger cultivars could not be included in this
study, due to the limited availability of data. In the next few years as data become
available, it will be possible to construct efficient frontiers out of a wider range of
enterprises. Different enterprises and cultivars will increase the number of alternative
uses for natural resources in the PaarlIBerg River region through diversification. This
will result in more choices for the farmer, and more flexibility in the decision-making
process. Without reliable data, the result will be "garbage in, garbage out." / AFRIKAANSE OPSOMMING: In elke besluit wat geneem word in landbou moet risiko as 'n faktor in ag geneem word.
Tog is risiko nie iets om te vrees nie. Dit is eerder keuse as noodlot. Die stappe wat ons
waag om te neem, wat afhang van hoe vry ons is om keuses te maak, is waaroor die teorie
van risiko gaan. Die doel van die tesis is om risiko effektief te bestuur binne die
vermoëns van die boer om sodoende negatiewe resultate die hoof te bied Sommige
metodes van risikobestuur is lewensvatbaar vir alle soorte plase. Ander is slegs
lewensvatbaar vir sekere groottes en tipes plase. Daarom benodig boere in die algemeen
'n tegniek wat dit vir hulle moontlik maak om 'n effektiewe beleggingstrategie te kies uit
die verskillende uitvoerbare strategiee. Gegewe n as riskante aktiwiteite (soos die
verskillende gewasse in die PaarllBergrivierstreek) is dit noodsaaklik om 'n
diversifiseringstrategie te vind wat 'n portefeulje sal lewer wat raak aan die effektiewe
grens.
Die navorsingsvraag was of verskillende diversifiseringsmodelle (Markowitz
diversifiseringsmodel (MVC), "Single Index Model" (SIM) en die "Capital Asset Pricing
Model" (CAPM)) wat gewoonlik toegepas word in kapitaalmarkte vir die samestelling
van optimale gediversifiseerde portefeuljes bestaande uit verskillende aandele, ook van
toepassing sal wees op riskante portefeuljes in die landbou in die PaarlJBergrivierstreek,
wat verskillende gewasse insluit.
Die effektiewe grens kan gesien word as die grafiese voorstelling van 'n stel portefeuljes
wat die verwagte winste vir elke vlak van portefeuljerisiko vermeerder. Die Microsoft
Excel portefeulje optimeringsprogram (SOLVER) word gebruik om die beleggingsverhoudings, verwagte winste en standaardafwykings van die portefeuljes aan
die effektiewe grens te illustreer.
Die "Single Index Model" (SIM) kan gebruik word as 'n alternatief vir die Markowitz
diversi:tikasiemodel. Dit verminder drasties die getal parameters en lewer maklik die
effektiewe reeks, sonder die tegniese probleme wat ondervind word met die oplossing by
die Markowitz model. Nietemin, indien die SIM die werklike data weerspreek sal die
vereenvoudiging van die berekenings bereik word ten koste van onakurate resultate. Die
eenvoud van die SIM is verkry ten koste van die samestelling van 'n suboptimale
portfeulje, wat nie aan die ooreenstemmende effektiewe grens lê nie.
Die "Capital Asset Pricing Model" (CAPM) wys dat daar baie sistematiese risiko
gekoppel is aan die portfeulje ingesluit in hierdie studie. Deur gebruik temaak van die
CAPM is dit moontlik om vas te stel watter deel van die risiko (nie-sistematies) die
produsent kan beheer en watter deel die produsent nie kan beheer nie (sistematiese
risiko). Die verhouding van sistematiese risiko wat weggediversifiseer kan word is klein
in verhouding tot die algehele risiko van die boerderysektor portefeulje.
Die sukses hang afvan die doeltreffendheid van die mark, sowel as 'n groot tot-op-datum
en betroubare bron van data. Baie van die jonger aangeplante kultivars kan nie ingesluit
word in hierdie studie nie as gevolg van beperkte data In die volgende paar jaar, soos
data beskikbaar word, sal dit moontlik wees om effektiewe grense van 'n wye reeks
gewasse saam te stel. Verskillende gewasse en kultivars sal die hoeveelheid alternatiewe
gebruike van natuurlike hulpbronne in die PaarllBergrivierstreek vermeerder deur
diversifikasie. Dit sal lei tot meer keuses vir die boer en meer buigsaamheid in die
besluitnemingsproses. Sonder betroubare data kan betroubate resultate nie verkry word
me.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/52703 |
| Date | 12 1900 |
| Creators | Maritz, Gerrit |
| Contributors | Lombard, J. P., Stellenbosch University. Faculty of AgriSciences. Dept. of Agricultural Economics. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Format | 219 p. : ill. |
| Rights | Stellenbosch University |
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