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Article: Mean-variance hedging with oil futures

TitleMean-variance hedging with oil futures
Authors
KeywordsMean-variance hedging
Fuel hedging
Energy futures market
Issue Date2013
PublisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00780/index.htm
Citation
Finance and Stochastics, 2013, v. 17 n. 4, p. 641-683 How to Cite?
AbstractWe analyze mean-variance-optimal dynamic hedging strategies in oil producers and consumers. In a model for the oil spot and futures market with Gaussian convenience yield curves and a stochastic market price of risk, we find analytical solutions for the optimal trading strategies. An implementation of our strategies in an out-of-sample test on market data shows that the hedging strategies improve long-term return risk profiles of both the producer and the consumer.
Persistent Identifierhttp://hdl.handle.net/10722/258884
ISSN
2015 Impact Factor: 2.169
2015 SCImago Journal Rankings: 3.019

 

DC FieldValueLanguage
dc.contributor.authorWang, L-
dc.contributor.authorWissel, J-
dc.date.accessioned2018-08-29T03:11:36Z-
dc.date.available2018-08-29T03:11:36Z-
dc.date.issued2013-
dc.identifier.citationFinance and Stochastics, 2013, v. 17 n. 4, p. 641-683-
dc.identifier.issn0949-2984-
dc.identifier.urihttp://hdl.handle.net/10722/258884-
dc.description.abstractWe analyze mean-variance-optimal dynamic hedging strategies in oil producers and consumers. In a model for the oil spot and futures market with Gaussian convenience yield curves and a stochastic market price of risk, we find analytical solutions for the optimal trading strategies. An implementation of our strategies in an out-of-sample test on market data shows that the hedging strategies improve long-term return risk profiles of both the producer and the consumer.-
dc.languageeng-
dc.publisherSpringer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00780/index.htm-
dc.relation.ispartofFinance and Stochastics-
dc.rightsThe final publication is available at Springer via http://dx.doi.org/[insert DOI]-
dc.subjectMean-variance hedging-
dc.subjectFuel hedging-
dc.subjectEnergy futures market-
dc.titleMean-variance hedging with oil futures-
dc.typeArticle-
dc.identifier.emailWang, L: lwang98@hku.hk-
dc.identifier.authorityWang, L=rp02321-
dc.identifier.doi10.1007/s00780-013-0203-x-
dc.identifier.hkuros287520-
dc.identifier.volume17-
dc.identifier.issue4-
dc.identifier.spage641-
dc.identifier.epage683-
dc.publisher.placeGermany-

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