This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2)...

Crop yields are not commonly found to be normally distributed, but the cause of the non-normal distribution is unclear. The non-normality might be due to weather variables and/or an underlying von Liebig law of the minimum (LoM) production function. Our objective is to determine the degree to...

The objective of this paper is to compare the accuracy of crop insurance rating methods based on historical liability and indemnity data (similar to the procedure currently used by the Risk Management Agency) and “yield distribution” approaches. Estimated rates are compared to “true”...

There has been a growing interest in CVaR as a financial risk measure in optimal allocation fields. This interest is based many key advantages of CVaR over the most used measures of risk: the Value-at-Risk and the variance. In this paper we develop an asset allocation model that allocates assets...