Portfolio Diversification with Commodity Futures: Properties of Levered Futures

Portfolio Diversification with Commodity Futures: Properties of Levered Futures This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from 1994-2003, we find that collateralized and levered futures strategies perform similarly in an ex-post context. Significant differences between the approaches emerge however when constraints on investment behavior exist. Further, levered futures do not result in a prohibitive number of margin calls. The investment performances of the collateralized and the levered strategies vary little across different rebalancing intervals, and frequent portfolio rebalancing does not necessarily result in superior performance. Keywords: Levered futures, optimal portfolio performance, constraint investment

A Behavioral Decision Making Modeling Approach Towards Hedging Services

This paper takes a behavioral approach toward the market for hedging services. A behavioral decision-making model is developed that provides insight into how and why owner-managers decide the way they do regarding hedging services. Insight into those choice processes reveals information needed by financial institutions to improve the design of their financial products. The key elements of the model are related to the characteristics of the owner-managers, thereby exploring the decision units' evaluations of the hedging services provided by futures exchanges. Using structural equation models and data from 467 owner-managers, obtained by means of computer- assisted personal interviews, we find that the elements "exercising entrepreneurial freedom," "perceived performance," and the "owner-manager's reference price" determine their attitude toward using futures. These elements are related to innovativeness, risk attitude, and level of understanding of futures markets

Farmers' Subjective Perceptions of Yield and Yield Risk

Using survey responses of Illinois corn farmers to differently framed yield questions, we examine their subjective information by relating stated yields and risk to the corresponding objective county measures. The results show that farm-level yields can be best characterized by soliciting probabilistic information, which provides more accurate yield assessments than an open-ended frame and consistent estimates of producers¿ subjective risk. Moreover, we find that overconfidence can be confused with differences in relevant information and that using recent data may be more appropriate in examining subjective risk statements. Our results are important for agricultural policy-makers and researchers, particularly those who work with surveys that include questions about producers¿ yields

Producers' Yield and Yield Risk: Perceptions versus Reality and Crop Insurance

Using survey data from 258 Illinois corn farmers, we investigate the relationship between subjective and objective yield measures and their effect on the use of crop insurance. Our findings show that producers view themselves as better than average with respect to yields and in terms of their variability, and that over- and underconfidence also influence their use of crop insurance. The effects are not symmetric, overconfidence is primarily reflected in the larger-than-average yield, while underconfidence emerges mainly in the larger-than-average variability. Crop insurance use is further affected by risk preferences and county yield variability

Effects of Full Collateralization in Commodity Futures Investments

How instructive cues present on the cell surface have their precise effects on the actin cytoskeleton is poorly understood. Semaphorins are one of the largest families of these instructive cues and are widely studied for their effects on cell movement, navigation, angiogenesis, immunology and cancer1. Semaphorins/collapsins were characterized in part on the basis of their ability to drastically alter actin cytoskeletal dynamics in neuronal processes2, but despite considerable progress in the identification of semaphorin receptors and their signalling pathways3, the molecules linking them to the precise control of cytoskeletal elements remain unknown. Recently, highly unusual proteins of the Mical family of enzymes have been found to associate with the cytoplasmic portion of plexins, which are large cell-surface semaphorin receptors, and to mediate axon guidance, synaptogenesis, dendritic pruning and other cell morphological changes4, 5, 6, 7. Mical enzymes perform reduction–oxidation (redox) enzymatic reactions4, 5, 8, 9, 10 and also contain domains found in proteins that regulate cell morphology4, 11. However, nothing is known of the role of Mical or its redox activity in mediating morphological changes. Here we report that Mical directly links semaphorins and their plexin receptors to the precise control of actin filament (F-actin) dynamics. We found that Mical is both necessary and sufficient for semaphorin–plexin-mediated F-actin reorganization in vivo. Likewise, we purified Mical protein and found that it directly binds F-actin and disassembles both individual and bundled actin filaments. We also found that Mical utilizes its redox activity to alter F-actin dynamics in vivo and in vitro, indicating a previously unknown role for specific redox signalling events in actin cytoskeletal regulation. Mical therefore is a novel F-actin-disassembly factor that provides a molecular conduit through which actin reorganization—a hallmark of cell morphological changes including axon navigation—can be precisely achieved spatiotemporally in response to semaphorin