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Farmland in a Mixed-Asset Portfolio: A Mean-Semivariance Approach

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  • William Hardin
  • Ping Cheng

Abstract

Executive Summary. This study uses the downside risk or mean-semivariance (M-S) methodology to evaluate farmland as a component of a mixed-asset portfolio. Results confirm that while a minimal investment in farmland may be warranted, farmland investment does not need to be a substantial part of the core allocations of an optimized mixed-asset portfolio. Although investment in farmland cannot be shown to statistically improve mixed-asset portfolios, which already include allocations to real estate, investment in farmland can be part of the real estate allocation of an optimal mixed-asset portfolio when investors or their advisors have farmland investment expertise. More studies using additional farmland data are required to fully assess direct investment in agricultural land.

Suggested Citation

  • William Hardin & Ping Cheng, 2005. "Farmland in a Mixed-Asset Portfolio: A Mean-Semivariance Approach," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 11(2), pages 187-195, January.
    • Handle: RePEc:taf:repmxx:v:11:y:2005:i:2:p:187-195
    DOI: 10.1080/10835547.2005.12089718
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    Cited by:

    1. Painter, Marvin J., 2015. "Assessing the Required Risk Premium for North American Farmland Investment," Journal of the ASFMRA, American Society of Farm Managers and Rural Appraisers, vol. 2015, pages 1-19.

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