Copula-based agricultural conditional value-at-risk modelling for geographical diversifications in wheat farming portfolio management
Article
Article Title | Copula-based agricultural conditional value-at-risk modelling for geographical diversifications in wheat farming portfolio management |
---|---|
ERA Journal ID | 211519 |
Article Category | Article |
Authors | Nguyen-Huy, Thong (Author), Deo, Ravinesh C. (Author), Mushtaq, Shahbaz (Author), Kath, Jarrod (Author) and Khan, Shahjahan (Author) |
Journal Title | Weather and Climate Extremes |
Journal Citation | 21, pp. 76-89 |
Number of Pages | 14 |
Year | 2018 |
Place of Publication | Netherlands |
ISSN | 2212-0947 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.wace.2018.07.002 |
Web Address (URL) | https://www.sciencedirect.com/science/article/pii/S2212094718300641 |
Abstract | An agricultural producer's crop yield and subsequent farming revenues are affected by many complex factors, including price fluctuations, government policy and climate (e.g., rainfall and temperature) extremes. Geographical diversification is identified as a potential farmer adaptation and decision support tool that could assist producers to reduce unfavourable financial impacts due to variabilities in crop price and yield, associated with climate variations. There has been limited research performed on the effectiveness of this strategy. The paper proposed a new statistical approach to investigate whether the geographical spread of wheat farm portfolios across three climate broad-acre (i.e., rain-fed) zones could potentially reduce financial risks for producers in Australian agro-ecological zones. A suite of popular and statistically robust tools applied in finance based on well-established statistical theories, comprised of the Conditional Value-at-Risk (CVaR) and the joint copula model were employed to evaluate the effectiveness geographical diversification. CVaR is utilised to benchmark the loss (i.e., downside risk), while the copula function is employed to model joint distribution among marginal returns (i.e., profit in each zone). The mean-CVaR optimisations indicate that geographical diversification could be a feasible agricultural risk management approach for wheat farm portfolio managers in achieving their optimised expected returns while controlling the risks (i.e., targeting levels of risk). Further, in this study, the copula-based mean-CVaR model is seen to better simulate extreme losses compared to the conventional multivariate-normal models, which underestimate the minimum risk levels at a given target of expected return. Among the suite of tested copula-based models, the vine copula in this study is found to be a superior in capturing the tail dependencies compared to the other multivariate copula models investigated. |
Keywords | copula models; portfolio optimisation; conditional value-at-risk; agriculture management; crop decision; geographical diversification |
ANZSRC Field of Research 2020 | 300207. Agricultural systems analysis and modelling |
370202. Climatology | |
300403. Agronomy | |
Byline Affiliations | School of Agricultural, Computational and Environmental Sciences |
International Centre for Applied Climate Science | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q4wzz/copula-based-agricultural-conditional-value-at-risk-modelling-for-geographical-diversifications-in-wheat-farming-portfolio-management
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Tao, Hai, Al-Hilali, Aqeel Ali, Ahmed, Ali M., Mussa, Zainab Haider, Falah, Mayadah W., Abed, Salwan Ali, Deo, Ravinesh, Jawad, Ali H., Maulud, Khairul Nizam Abdul, Latif, Mohd Talib and Yaseen, Zaher Mundher. 2023. "Statistical and spatial analysis for soil heavy metals over the Murray-Darling river basin in Australia." Chemosphere. 317. https://doi.org/10.1016/j.chemosphere.2023.137914Enhanced joint hybrid deep neural network explainable artificial intelligence model for 1-hr ahead solar ultraviolet index prediction
Prasad, Salvin S., Deo, Ravinesh C., Salcedo-sanz, Sancho, Downs, Nathan J., Casillas-Perez, David and Parisi, Alfio V.. 2023. "Enhanced joint hybrid deep neural network explainable artificial intelligence model for 1-hr ahead solar ultraviolet index prediction." Computer Methods and Programs in Biomedicine. 241. https://doi.org/10.1016/j.cmpb.2023.107737Ampelomyces mycoparasites of powdery mildews–a review
Prahl, Rosa E., Khan, Shahjahan and Deo, Ravinesh C.. 2023. "Ampelomyces mycoparasites of powdery mildews–a review." Canadian Journal of Plant Pathology. 45 (4), pp. 391-404. https://doi.org/10.1080/07060661.2023.2206378A fuzzy-based cascade ensemble model for improving extreme wind speeds prediction
Pelaez-Rodriguez, C., Perez-Aracil, J., Prieto-Godino, L., Ghimire, S., Deo, R. and Salcedo-sanz, S.. 2023. "A fuzzy-based cascade ensemble model for improving extreme wind speeds prediction." Journal of Wind Engineering and Industrial Aerodynamics. 240. https://doi.org/10.1016/j.jweia.2023.105507Five-year Comorbidity Outcomes in Laparoscopic Vertical Sleeve Gastrectomy (LVSG) and Laparoscopic Roux-en-Y Gastric Bypass (LRYGB): A Systematic Review and Meta-analysis of Randomized Controlled Trials
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O’Sullivan, Cherie M., Deo, Ravinesh C. and Ghahramani, Afshin. 2023. "Explainable AI approach with original vegetation data classifies spatio-temporal nitrogen in flows from ungauged catchments to the Great Barrier Reef." Scientific Reports. 13 (1). https://doi.org/10.1038/s41598-023-45259-0A Novel Attention-Based Model for Semantic Segmentation of Prostate Glands Using Histopathological Images
Inamdar, Mahesh Anil, Raghavendra, U., Gudigar, Anjan, Bhandary, Sarvesh, Salvi, Massimo, Deo, Ravinesh C., Barua, Prabal Datta, Ciaccio, Edward J., Molinari, Filippo and Acharya, RU. Rajendra. 2023. "A Novel Attention-Based Model for Semantic Segmentation of Prostate Glands Using Histopathological Images." IEEE Access. 11, pp. 108982-108994. https://doi.org/10.1109/ACCESS.2023.3321273Efficient daily electricity demand prediction with hybrid deep-learning multi-algorithm approach
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Xu, Shuting, Deo, Ravinesh C, Soar, Jeffrey, Barua, Prabal Datta, Faust, Oliver, Homaira, Nusrat, Jaffe, Adam, Kabir, Arm Luthful and Acharya, U. Rajendra. 2023. "Automated detection of airflow obstructive diseases: A systematic review of the last decade (2013-2022)." Computer Methods and Programs in Biomedicine. 241. https://doi.org/10.1016/j.cmpb.2023.107746Brain tumor detection and screening using artificial intelligence techniques: Current trends and future perspectives
Raghavendra, U., Gudigar, Anjan, Paul, Aritra, Goutham, T.S., Inamdar, Mahesh Anil, Hegde, Ajay, Dev, Aruna, Ooi, Chui Ping, Deo, Ravinesh C., Barua, Prabal Datta, Molinari, Filippo, Ciaccio, Edward J. and Acharya, U. Rajendra. 2023. "Brain tumor detection and screening using artificial intelligence techniques: Current trends and future perspectives." Computers in Biology and Medicine. 163. https://doi.org/10.1016/j.compbiomed.2023.107063Application of Entropy for Automated Detection of Neurological Disorders With Electroencephalogram Signals: A Review of the Last Decade (2012-2022)
Jui, S. Janifer Jabin, Deo, Ravinesh C. Deo, Barua, Prabal Datta, Devi, Aruna, Soar, Jeffrey and Acharya, U. Rajendra. 2023. "Application of Entropy for Automated Detection of Neurological Disorders With Electroencephalogram Signals: A Review of the Last Decade (2012-2022)." IEEE Access. 11, pp. 71905-71924. https://doi.org/10.1109/ACCESS.2023.3294473Integrated Multi-Head Self-Attention Transformer model for electricity demand prediction incorporating local climate variables
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Mittahalli Byrareddy, Vivekananda M, Islam, Md Aminul, Nguyen-Huy, Thong and Slaughter, Geoff. 2023. "A systematic review of emerging environmental markets: Potential pathways to creating shared value for communities ." Heliyon. 9 (9). https://doi.org/10.1016/j.heliyon.2023.e19754Integrating management decisions and insurance to drive climate adaptation in the agricultural industry
Nguyen-Huy, Thong. 2023. "Integrating management decisions and insurance to drive climate adaptation in the agricultural industry ." Climate Adaptation 2023. Adelaide, Australia 25 - 27 Jul 2023 Australia.Flash flood-risk areas zoning using integration of decision-making trial and evaluation laboratory, GIS-based analytic network process and satellite-derived information
Taherizadeh, Mehrnoosh, Niknam, Arman, Nguyen-Huy, Thong, Mezősi, Gábor and Sarli, Reza. 2023. "Flash flood-risk areas zoning using integration of decision-making trial and evaluation laboratory, GIS-based analytic network process and satellite-derived information." Natural Hazards. 118 (3), p. 2309–2335. https://doi.org/10.1007/s11069-023-06089-5Revealing the effect of an industrial flash flood on vegetation area: a case study of Khusheh Mehr in Maragheh-Bonab Plain, Iran
Taherizadeh, Mehrnoosh, Khushemehr, Javid Hojabri, Niknam, Arman, Nguyen-Huy, Thong and Mezősi, Gábor. 2023. "Revealing the effect of an industrial flash flood on vegetation area: a case study of Khusheh Mehr in Maragheh-Bonab Plain, Iran." Remote Sensing Applications: Society and Environment. 32. https://doi.org/10.1016/j.rsase.2023.101016The Great 2011 Thailand flood disaster revisited: Could it have been mitigated by different dam operations based on better weather forecasts?
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Johnston, David B., Pembleton, Keith G., Huth, Neil I. and Deo, Ravinesh C.. 2023. "Comparison of machine learning methods emulating process driven crop models ." Environmental Modelling and Software. 162. https://doi.org/10.1016/j.envsoft.2023.105634A novel approach based on integration of convolutional neural networks and echo state network for daily electricity demand prediction
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Nguyen-Huy, Thong. 2023. "Digital Farming: An Overview of Its Fundamental Components and Applications." The 4th International Conference of Food Security and Sustainable Agriculture in the Tropics. South Sulawesi, Indonesia 15 - 16 Feb 2023 Indonesia.Accurate Image Multi-Class Classification Neural Network Model with Quantum Entanglement Approach
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Diykh, Mohammed, Abdulla, Shahab, Deo, Ravinesh C, Siuly, Siuly and Ali, Mumtaz. 2023. "Developing a novel hybrid method based on dispersion entropy and adaptive boosting algorithm for human activity recognition." Computer Methods and Programs in Biomedicine. 229. https://doi.org/10.1016/j.cmpb.2022.107305Cloud cover bias correction in numerical weather models for solar energy monitoring and forecasting systems with kernel ridge regression
Deo, Ravinesh C., Ahmed, A.A. Masrur, Casillas-Perez, David, Pourmousavi, S. Ali, Segal, Gary, Yu, Yanshan and Salcedo-sanz, Sancho. 2023. "Cloud cover bias correction in numerical weather models for solar energy monitoring and forecasting systems with kernel ridge regression." Renewable Energy. 203, pp. 113-130. https://doi.org/10.1016/j.renene.2022.12.048Early flowering changes robusta coffee yield responses to climate stress and managementv
Kath, Jarrod, Byrareddy, Vivekananda Mittahalli, Reardon-Smith, Kathryn and Mushtaq, Shahbaz. 2023. "Early flowering changes robusta coffee yield responses to climate stress and managementv." Science of the Total Environment. 856 (Part 1). https://doi.org/10.1016/j.scitotenv.2022.158836Deep Multi-Stage Reference Evapotranspiration Forecasting Model: Multivariate Empirical Mode Decomposition Integrated With the Boruta-Random Forest Algorithm
Jayasinghe, W. J. M. Lakmini Prarthana, Deo, Ravinesh C., Ghahramani, Afshin, Ghimire, Sujan and Raj, Nawin. 2021. "Deep Multi-Stage Reference Evapotranspiration Forecasting Model: Multivariate Empirical Mode Decomposition Integrated With the Boruta-Random Forest Algorithm." IEEE Access. 9, pp. 166695-166708. https://doi.org/10.1109/ACCESS.2021.3135362Designing Deep-based Learning Flood Forecast Model with ConvLSTM Hybrid Algorithm
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Downs, Nathan, Raj, Nawin, Vanos, Jennifer, Parisi, Alfio, Butler, Harry, Deo, Ravinesh, Igoe, Damien, Dexter, Benjamin, Beckman-Downs, Melanie, Turner, Joanna and Dekeyser, Stijn. 2023. "The Playground Shade Index: A New Design Metric for Measuring Shade and Seasonal Ultraviolet Protection Characteristics of Parks and Playgrounds." Photochemistry and Photobiology. 99 (4), pp. 1193-1207. https://doi.org/10.1111/php.13745Using Sequence-to-Sequence Models for Carrier Frequency Offset Estimation of Short Messages and Chaotic Maps
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Hua, Shuangcheng, Fong, Youyi and Kath, Jarrod. 2022. "Fast estimation and choice of confidence interval methods for step regression." Environmental and Ecological Statistics. 29 (4), pp. 779-799. https://doi.org/10.1007/s10651-022-00547-2Vapour pressure deficit determines critical thresholds for global coffee production under climate change
Kath, Jarrod, Craparo, Alessandro, Fong, Youyi, Byrareddy, Vivekananda, Davis, Aaron P., King, Rachel, Nguyen-Huy, Thong, van Asten, Piet J. A., Marcussen, Torben, Mushtaq, Shahbaz, Stone, Roger and Power, Scott. 2022. "Vapour pressure deficit determines critical thresholds for global coffee production under climate change." Nature Food. 3, pp. 871-880. https://doi.org/10.1038/s43016-022-00614-8Student Performance Predictions for Advanced Engineering Mathematics Course With New Multivariate Copula Models
Nguyen-Huy, Thong, Deo, Ravinesh C., Khan, Shahjahan, Devi, Aruna, Adeyinka, Adewuyi Ayodele, Apan, Armando A. and Yaseen, Zaher Mundher. 2022. "Student Performance Predictions for Advanced Engineering Mathematics Course With New Multivariate Copula Models." IEEE Access. 10, pp. 45112 -45136. https://doi.org/10.1109/ACCESS.2022.3168322Groundwater-surface water interactions at wetland interface: Advancement in catchment system modeling
Rafiei, Vahid, Nejadhashemi, A. Pouyan, Mushtaq, Shahbaz, Bailey, Ryan T. and An-Vo, Duc-Anh. 2022. "Groundwater-surface water interactions at wetland interface: Advancement in catchment system modeling." Environmental Modelling and Software. 152, pp. 1-15. https://doi.org/10.1016/j.envsoft.2022.105407Rapid assessment of mine rehabilitation areas with airborne LiDAR and deep learning: bauxite strip mining in Queensland, Australia
Murray, Xavier, Apan, Armando, Deo, Ravinesh and Maraseni, Tek. 2022. "Rapid assessment of mine rehabilitation areas with airborne LiDAR and deep learning: bauxite strip mining in Queensland, Australia." Geocarto International. 37 (26), pp. 11223-11252. https://doi.org/10.1080/10106049.2022.2048902Multi-strategy Slime Mould Algorithm for hydropower multi-reservoir systems optimization
Ahmadianfar, Iman, Noori, Ramzia Majeed, Togun, Hussein, Falah, Mayadah W., Homod, Raad Z., Fu, Minglei, Halder, Bijay, Deo, Ravinesh and Yaseen, Zaher Mundher. 2022. "Multi-strategy Slime Mould Algorithm for hydropower multi-reservoir systems optimization." Knowledge-Based Systems. 250, pp. 1-18. https://doi.org/10.1016/j.knosys.2022.109048Suspended sediment load modeling using advanced hybrid rotation forest based elastic network approach
Khosravi, Khabat, Golkarian, Ali, Melesse, Assefa M. and Deo, Ravinesh C.. 2022. "Suspended sediment load modeling using advanced hybrid rotation forest based elastic network approach." Journal of Hydrology. 610, pp. 1-14. https://doi.org/10.1016/j.jhydrol.2022.127963Delineating the Crop-Land Dynamic due to Extreme Environment Using Landsat Datasets: A Case Study
Halder, Bijay, Bandyopadhyay, Jatisankar, Afan, Haitham Abdulmohsin, Naser, Maryam H., Abed, Salwan Ali, Khedher, Khaled Mohamed, Falih, Khaldoon T., Deo, Ravinesh, Scholz, Miklas and Yaseen, Zaher Mundher. 2022. "Delineating the Crop-Land Dynamic due to Extreme Environment Using Landsat Datasets: A Case Study." Agronomy. 12 (6), pp. 1-23. https://doi.org/10.3390/agronomy12061268Coupled online sequential extreme learning machine model with ant colony optimization algorithm for wheat yield prediction
Ali, Mumtaz, Deo, Ravinesh C., Xiang, Yong, Prasad, Ramendra, Li, Jianxin, Farooque, Aitazaz and Yaseen, Zaher Mundher. 2022. "Coupled online sequential extreme learning machine model with ant colony optimization algorithm for wheat yield prediction." Scientific Reports. 12 (1), pp. 1-23. https://doi.org/10.1038/s41598-022-09482-5Forecasting solar photosynthetic photon flux density under cloud cover effects: novel predictive model using convolutional neural network integrated with long short-term memory network
Deo, Ravinesh C., Grant, Richard H., Webb, Ann, Ghimire, Sujan, Igoe, Damien P., Downs, Nathan J., Al-Musaylh, Mohanad S., Parisi, Alfio V. and Soar, Jeffrey. 2022. "Forecasting solar photosynthetic photon flux density under cloud cover effects: novel predictive model using convolutional neural network integrated with long short-term memory network." Stochastic Environmental Research and Risk Assessment. 36, p. 3183–3220. https://doi.org/10.1007/s00477-022-02188-0Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise Deep Residual model for short-term multi-step solar radiation prediction
Ghimire, Sujan, Deo, Ravinesh C, Casillas-Perez, David and Salcedo-sanz, Sancho. 2022. "Improved Complete Ensemble Empirical Mode Decomposition with Adaptive Noise Deep Residual model for short-term multi-step solar radiation prediction." Renewable Energy. 190, pp. 408-424. https://doi.org/10.1016/j.renene.2022.03.120Efficient daily solar radiation prediction with deep learning 4-phase convolutional neural network, dual stage stacked regression and support vector machine CNN-REGST hybrid model
Ghimire, Sujan, Nguyen-Huy, Thong, Deo, Ravinesh C., Casillas-Perez, David and Salcedo-sanz, Sancho. 2022. "Efficient daily solar radiation prediction with deep learning 4-phase convolutional neural network, dual stage stacked regression and support vector machine CNN-REGST hybrid model." Sustainable Materials and Technologies. 32, pp. 1-24. https://doi.org/10.1016/j.susmat.2022.e00429Hybrid deep CNN-SVR algorithm for solar radiation prediction problems in Queensland, Australia
Ghimire, Sujan, Bhandari, Binayak, Casillas-Perez, David, Deo, Ravinesh C. and Salcedo-sanz, Sancho. 2022. "Hybrid deep CNN-SVR algorithm for solar radiation prediction problems in Queensland, Australia." Engineering Applications of Artificial Intelligence. 112, pp. 1-26. https://doi.org/10.1016/j.engappai.2022.104860Boosting solar radiation predictions with global climate models, observational predictors and hybrid deep-machine learning algorithms
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Riaz, Farina, Abdulla, Shahab, Ni, Wei, Radfar, Mohsen, Deo, Ravinesh and Hopkins, Susan. 2022. "Quantum Artificial Intelligence Predictions Enhancement by Improving Signal Processing." Quantum Australia Conference 2022. Online 23 - 25 Feb 2022 Toowoomba, Australia. https://doi.org/10.13140/RG.2.2.34754.66245A satellite-based Standardized Antecedent Precipitation Index (SAPI) for mapping extreme rainfall risk in Myanmar
Nguyen-Huy, Thong, Kath, Jarrod, Nagler, Thomas, Khaung, Ye, Aung, Thee Su Su, Mushtaq, Shahbaz, Marcussen, Torben and Stone, Roger. 2022. "A satellite-based Standardized Antecedent Precipitation Index (SAPI) for mapping extreme rainfall risk in Myanmar." Remote Sensing Applications: Society and Environment. 26, pp. 1-19. https://doi.org/10.1016/j.rsase.2022.100733Nuanced assessment of livelihood resilience through the intersectional lens of gender and ethnicity: evidence from small-scale farming communities in the upland regions of Vietnam
Tran, Van Thanh, An-Vo, Duc-Anh, Mushtaq, Shahbaz and Cockfield, Geoff. 2022. "Nuanced assessment of livelihood resilience through the intersectional lens of gender and ethnicity: evidence from small-scale farming communities in the upland regions of Vietnam." Journal of Rural Studies. 92, pp. 68-78. https://doi.org/10.1016/j.jrurstud.2022.03.011Deep learning CNN-LSTM-MLP hybrid fusion model for feature optimizations and daily solar radiation prediction
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Pelaez-Rodriguez, C., Perez-Aracil, J., Fister, D, Prieto-Godino, L., Deo, R.C. and Salcedo-sanz, S.. 2022. "A hierarchical classification/regression algorithm for improving extreme wind speed events prediction." Renewable Energy. 201 (Part 2), pp. 157-178. https://doi.org/10.1016/j.renene.2022.11.042