Farmland Investment Characteristics from a Forward-Looking Perspective: An Explanation for the “High Return/Low Risk” Paradox
研究了农田投资的名义和实际回报，发现历史高回报需长期持有才能实现，但长期风险也很大，因此资产组合中农田配置低于传统优化结果。
Land values and cash rents are slow to adjust, and therefore the returns from owning farmland may be time varying and serially correlated. This article investigates a farmland portfolio’s nominal and real returns from a forward-looking perspective, taking into account time-varying return and serial correlation. The results indicate that the attractive average return level observed historically can be attained only over a long investment period. The risk involved in the long investment period, however, is also substantial. As a result, in mixed-asset investment portfolios, the allocations to farmland are much lower than traditional mean-variance optimization implies. <i></i>