Retornos e riscos na comercialização de milho no Estado do Paraná: uma aplicação do modelo value-at-risk

Resumen

This paper aimed to evaluate risk and returns of marketing strategies adopted by farmers, cooperatives and grain elevators in the State of Paraná, Brazil, using data for the period 1994-2001. For farmers, the only strategy analyzed was storage, while for coops and grain elevators three strategies were considered: storage (EST), short selling (VD) and buying and selling simultaneously (CVS). The risk analyses were carried out by means of Value-at-Risk (VaR) models using three approaches: Normal Delta, Historical Simulation and Monte Cario Simulation. The returns were weighted with a modified version of the Sharpe Index (/5 ), generating an index of probabilistic returns. In the period analyzed, storage was not viable for farmers'as well as for grain elevators. The VD strategy was profitable without taking risk into consideration. CVS is the best strategy when only strategies with ASj, larger than one are considered profitable.