Land values and cash rents are slow to adjust, and therefore the returns from owning farmland may be time varying and serially correlated. This article investigates a farmland portfolio’s nominal and real returns from a forward-looking perspective, taking into account time-varying return and serial correlation. The results indicate that the attractive average return level observed historically can be attained only over a long investment period. The risk involved in the long investment period, however, is also substantial. As a result, in mixed-asset investment portfolios, the allocations to farmland are much lower than traditional mean-variance optimization implies. (JEL Q15)

中文翻译：

---

前瞻视角下的耕地投资特征：“高回报/低风险”悖论的解释

土地价值和现金租金调整缓慢，因此拥有农田的回报可能随时间变化且呈序列相关。本文从前瞻性角度研究了农田投资组合的名义和实际回报，同时考虑了随时间变化的回报和序列相关性。结果表明，历史上观察到的有吸引力的平均回报水平只能在较长的投资期内实现。然而，长期投资所涉及的风险也很大。因此，在混合资产投资组合中，对农田的分配远低于传统的均值方差优化所暗示的。(JEL Q15)