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The purpose of this paper is to analyze the effect of the 2008 Farm Bill's average crop revenue election (ACRE) program on the risk‐reducing effectiveness of crop insurance products.

Three crop/region combinations are examined, representing regions with both high and low price‐yield correlation regions. Actual production history (APH) and crop revenue coverage (CRC) insurance instruments are considered separately under the 2002 Farm Bill and under ACRE. Monte Carlo simulations, combined with the copula approach, are used to simulate net wealth distributions and to calculate the corresponding expected utilities. The outcomes are evaluated using certainty‐equivalent wealth based on different risk premium assumptions.

Crop insurance contracts appear to be more effective under the 2002 Farm Bill than under ACRE, especially for crops characterized by low yield‐price correlation. CRC insurance is found to be more effective than APH insurance for all crop/region combinations considered.

The paper only considers a static framework and farm‐level insurance contracts. Further research could investigate how ACRE affects decoupled income support, whether the results change if Supplemental Revenue Assistance is included, or how different the outcomes might be for multiple‐crop farms.

The results suggest that risk‐reducing effectiveness decreases under ACRE and that no reasonable adjustment to APH base price can make APH competitive with CRC for any crop/regions considered.

The risk‐reducing effectiveness of the 2008 Farm Bill's ACRE program is analyzed, and as a methodological contribution the copula approach is used to model the multivariate distribution of yields and prices.

The purpose of this paper is to investigate and test for changes in investor risk aversion and the stochastic discount factor (SDF) using options data on the West Texas Intermediate crude oil futures contract during the 2007-2011 period.

Risk aversion functions and SDFs are estimated using parametric approaches before and after four specific dates of interest. The dates are: the summer 2008 end of the bull market regime; the late 2008 credit freeze trough; the BP Deepwater Horizon explosion; and the Libyan uprising.

Absolute risk aversion functions and SDFs are significantly flatter (less decreasing in wealth) after the end of the bull market and the credit freeze trough. After these two market reversals, oil market participants were less risk-averse for low levels of wealth but more risk-averse for high wealth levels. Oil market investors also increased their valuation of anticipated future wealth in average states of nature relative to very high or very low-asset return states after reversals. The BP explosion and the Libyan uprising led to steeper risk aversion functions (decreasing more rapidly in wealth) and SDF. Oil market investors were more risk-averse for lower future wealth, but less risk-averse for higher future wealth. Oil market investors increased their valuation of anticipated future wealth in extreme states of nature relative to average states of nature after both dates.

Documenting statistically and economically significant changes in oil market investors’ attitude toward risk and inter-temporal appetite for risk in relation to changes in financial and political conditions.

Building on the property rights framework, the purpose of this paper is to frame the cooperative business model in terms of strategic options held either by the board or by members. Options that are analyzed include growth and restructuring, dividend allocation, member entry and exit, and member embedded value options.

Empirical estimates of the options' financial value, as well as sensitivity analyses, are presented for a stylized example using historical data and Monte Carlo option‐pricing methods. Attention is paid to the effect of member age, discount rate and business operation size.

Results suggest that the board's growth options can be substantial, while member options generally have small but nontrivial value. Implications for the stability of membership are drawn.

The financial or economic value of strategic options in agricultural cooperatives can be significant, and decision makers may benefit from accounting for their presence.

Cooperatives play an important role in agribusiness but have undergone significant changes in the past two decades in terms of organizational and financial structure. This paper contributes to an understanding of the value of control and residual rights associated with the Board and members of cooperatives.

Pricing densities implied from options on live cattle futures show a persistent and negative skew. The purpose is to examine whether the skew can be explained, in part, by peso-type problems.

Two announcements of bovine spongiform encephalopathy (BSE) provide a natural setting within which to examine the validity of the peso-problem explanation. These announcements represent the first documented cases of BSE in North America. Prior to the announcements, the potential for BSE would have been known by market participants as the disease had been found among cattle in the British Isles, Europe and Asia. The paper uses options market data to compute implied moments of the pricing distribution for live cattle futures. The paper then analyzes these moments around BSE announcements.

The first Canadian BSE announcement impacted the mean and volatility but not the implied skew. Later in the year, BSE was found in a US cow and the paper finds a statistically significant change in the implied skew. The distribution showed a pronounced leftward skew prior to the US announcement but was nearly symmetric during the days afterwards. This finding is consistent with the market having priced the possibility of a BSE discovery into deep out-of-the-money put options.

Peso problems have been documented in other financial markets. The results are important because they suggest that they may also be important to agricultural markets and that agricultural options markets do account for low probability but highly important events.

The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis.

The paper uses time series econometrics including variance ratio tests, fractional integration estimators, and wavelet transforms.

The role of time horizon is emphasized in the discussion of the three papers, and wavelet methods are shown to be a useful tool to better understand time horizon-specific risk. Moreover, changes in the time horizon of futures trading are documented and discussed.

In addition to discussing three papers on quantitative finance for agricultural commodities, this paper also looks at how the analysis and management of short-term and long-term risk may differ. To this end, wavelet transform-based time series methods are reviewed and applied.

The purpose of this paper is to propose a risk-based framework to estimate the option value of infrastructure investment, accounting for the stochastic behavior of both financial and physical (engineering) variables.

This study uses a real-options approach and computes the optimal investment dates and option values using Least Squares Monte Carlo, both the original Longstaff – Schwartz algorithm and the constrained Least Squares approach of Le tourneau – Stentoft.

Real-option value for infrastructure investment is substantial. It is beneficial to model jointly financial and engineering risks to better understand the timing and real-option value of infrastructure investment. The analysis further shows which variables are option value drivers.

Future work could integrate financing constraints into the model, consider path dependency in the physical state variables or integrate sovereign risk, expropriation risk, operational risk or other project risks.

Financial practitioners and investment managers interested in infrastructure risk finance or project finance will benefit from a novel framework to analyze infrastructure investments in which engineering and financial risks interact in a tractable way.

Public decision-makers will benefit from a better understanding of what determines the value of infrastructure investments, how real-option value affects optimal investment timing and how both are determined by financial and engineering risks.

The analysis considers financial and engineering risks in a single framework to better understand option value in infrastructure investment. The framework and findings are useful both to risk finance and project finance practitioners and investors as well as engineers and public sector decision-makers.

This paper aims to numerically investigate the surface texturing effects on the main bearings of a three-cylinder ethanol engine in terms of the power loss and friction coefficient for dynamic load conditions.

The mathematical formulation considers the Partir-Cheng modified Reynolds equation. The mass-conserving Elrod-Adams p-θ model with the JFO approach is used to deal with cavitation. A fluid-structure coupling procedure is considered for the elastohydrodynamic lubrication. Accordingly, a 3-D linear-elastic substructured finite element model obtained from Abaqus is applied

Simulations were carried out considering different dimple texture designs in terms of location, depth and radius. The results suggested that there are regions where texturing is more effective. In addition, distinct journal rotation speeds are studied and the surface texture was able to reduce friction and the power loss by 7%.

The surface texturing can be a useful technique to reduce the power loss on the crankshaft bearing increasing the overall engine efficiency.

The surface texturing performance in a three-cylinder engine using ethanol as fuel was investigated through numerical experimentation. The results are supported by previous findings.

The peer review history for this article is available at: https://publons.com/publon/10.1108/ILT-09-2019-0380/

The purpose of this paper is to present the first-year results of the EU-supported GABRIEL project on the possible use of magnetic levitation (MagLev) technology to assist aircraft take-off and landing (ATOL).

Developing a radically new technology is a complex task. It is based on extensive expert analysis, use of technology identification evaluation and selection methods, principle of the design philosophies and development of the radically new technologies.

A possible solution of using the MagLev technology to assist ATOL was developed and defined, including several original ideas, such as the cart-sledge concept or the unconventional climb principle.

This is a typical “out-of-the-box” project without limitations on the developing new principles and technologies, but it is working on the development of a possible solution within the predictable technical and technological envelopes.

The developed concept should assess whether MagLev technology for the ATOL is feasible, cost-effective and safe.

The developed GABRIEL principle may significantly reduce the noise and chemical emissions in airport regions and increase the efficiency of the air transportation system.

The GABRIEL concept is the first concept for using the MagLev technology to assist the takeoff and landing processes related to the commercial civil aviation.

Much of the commerce of state and local governments with private firms is fairly routine. Standardized procedures exist for its conduct. A trend to privatization of facilities and services, however, has created novel contexts in which government‐business relationships must be negotiated. In the absence of established ground rules, the balance of power between the local government and the firm is likely to be asymmetrical and unstable. This manuscript chronicles the dynamic nature of power distribution and the application of power in negotiations surrounding the privatization of a major distribution facility in one of the largest cities in the United States. The manuscript concludes with some cautionary comments for firms contemplating conducting business with local governments.

The purpose of the paper is to determine the optimal conditions of the take-off and the optimal trajectory of the initial climb minimizing the fuel consumption of the aircraft aided in the ground phase of the take-off by the system using the MAGLEV technology.

The study concerned determining the optimal trajectory of the initial phase of the transport aircraft climb aided in the phase of acceleration by the system using the magnetic levitation phenomenon. The simplified algorithm of the Ritz–Galerkin method was used in this work which uses an approximate solution to boundary value problems for determining the optimal flight trajectory. It uses the method of approximation of the flight path by the third-degree polynomial. The method allows determining the optimal trajectory of the flight satisfying the initial/final conditions and control functions and path constrains for an aircraft. General stating of the task supposes determining the optimal trajectory of movement of a flying vehicle described by the system of ordinary differential equations. The resulting sparse non-linear programming problem has been solved using own elaborated software. The typical profiles computation has been performed with a tool combining three degree of freedom flight dynamics differential equations with procedure-oriented flight control.

Different conditions of the take-off of the aircraft aided by the ground system using the MAGLEV technology give possibilities to shape the trajectory of the initial stage of the aircraft climb after the lift-off to decrease the negative influence on the environment. Optimization of the departure trajectory minimizing fuel consumption or noise emissions can become the basis for working out new procedures for a new kind of take-off modified in relation to the optimal solution which will increase the safety of this segment of the flight.

The analysis was carried out only for the departure trajectory to minimize fuel consumption, without investigation of possibilities of noise reduction. The trajectory guaranteeing minimization of the fuel consumption would also give a solution characterized by minimal emission of substances harmful for the environment.

Application of the innovatory solution of aided take-off is connected with modification of the climbing procedures after the take-off to minimize the negative effect of the aircraft on the surrounded environment. The results can become the basis for working out new procedures which will minimize negative influence to the natural environment in the vicinity of the airports of air transport and increase safety of the take-off and landing operations.

Innovative method of the take-off implies new shape of the trajectory. The study presents the results of the climb trajectory optimization of the aircraft supported at the ground stage by the technology using magnetic levitation phenomenon.