Dahl, Bruce

By: Skadberg, Kristopher; Wilson, William W.; Larsen, Ryan; Dahl, Bruce
This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified. Results show that spatial-arbitrage payoffs vary regionally. Sensitivity results indicate that payoffs and risks increase as firms become more vertically integrated.