Programação linear e simulação multidimensional no mercado financeiro e commodities

Abstract

Usually after planting, the agricultural property attempts to assess the operational performance of the previous years through studies in order to face posteriorly a new period of activities with the beginning of a new crop. The results led the landowners to create expectations about the expansion or reduction of crops, staff hiring, supply purchasing and new investments. All these questions are relevant deriving from climatic variations, pest manifestations and from fluctuations in the economy which directly influence in the the prices of the agricultural products. However the producers face the need of making decisions which often completely change the operating process of production. In large scale these decisions influence directly the supply and the price of the products. Having in consideration that the techniques used in agricultural planning are of great value for the producers, a decision aid methodology which considers the risks in the process is applied on the spot market of agricultural commodities in order to provide the best combination of variables aiming the profit optimization. Therefore, in this it was jointly used simulation technique and linear programming taking into account the existent correlations between the coefficients of the model. The data were obtained from historic trends regarding the monthly average price of 44 agricultural commodities commercialized in the European spot market since January 1960 till September 2011. Regarding the computational part, it was used the software SAS, version 5.2. By applying the proposed method the results show that the use of simulation without dependence did not underestimate the risk when compared to the simulation with dependence and they also show that the technique did not allow the perception of the best moment to make the investment, yet fully satisfactory as a decision support tool.