This paper studies the financial and risk management specific to agricultural cooperatives (co-ops). In order to acquire the necessary risk capital to implement competitive strategies, like value-added processing, many agricultural co-ops are adopting capital structure innovations. Fonterra, a leading and dominant company in the New Zealand dairy industry, is one such typical case. We propose a Markov decision process (MDP) model for Fonterra to make better decisions, taking into account uncertain information on milk supply, share price, milk price and farmers' investment behaviour.The objectives are to maximise equity holders' returns over time and also to minimise financial risks. Themodel is solved through an approximate dynamic programming algorithm. We also investigate the efficiency of several risk management policies through numerical experiments. The results reflect the trade-offs involved in the financial decisions, show the importance of designing effective risk management policies and yield some suggestions to mitigate financial risk.

本文研究了针对农业合作社（co-ops）的财务和风险管理。为了获得实施竞争战略（如增值加工）所必需的风险资本，许多农业合作社正在采用资本结构创新。新西兰乳制品行业的领先和主导公司恒天然就是一个典型的例子。考虑到鲜奶供应，股价，鲜奶价格和农民投资行为的不确定信息，我们为恒天然提出了一个马尔可夫决策过程（MDP）模型，以做出更好的决策，目标是随着时间的推移最大化股权持有人的回报，并且降低财务风险。通过近似的动态规划算法求解模型。我们还通过数值实验研究了几种风险管理策略的效率。结果反映了财务决策中涉及的权衡，表明了设计有效风险管理政策的重要性，并提出了一些减轻财务风险的建议。