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- Publisher Website: 10.1007/s00780-013-0203-x
- Scopus: eid_2-s2.0-84884703823
- WOS: WOS:000324834300001
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Article: Mean-variance hedging with oil futures
Title | Mean-variance hedging with oil futures |
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Authors | |
Keywords | Mean-variance hedging Fuel hedging Energy futures market |
Issue Date | 2013 |
Publisher | Springer 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? |
Abstract | We analyze mean-variance-optimal dynamic hedging strategies in oil futures for 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 Identifier | http://hdl.handle.net/10722/258881 |
ISSN | 2023 Impact Factor: 1.1 2023 SCImago Journal Rankings: 0.922 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Wang, L | - |
dc.contributor.author | Wissel, J | - |
dc.date.accessioned | 2018-08-23T09:14:29Z | - |
dc.date.available | 2018-08-23T09:14:29Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Finance and Stochastics, 2013, v. 17 n. 4, p. 641-683 | - |
dc.identifier.issn | 0949-2984 | - |
dc.identifier.uri | http://hdl.handle.net/10722/258881 | - |
dc.description.abstract | We analyze mean-variance-optimal dynamic hedging strategies in oil futures for 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.language | eng | - |
dc.publisher | Springer Verlag. The Journal's web site is located at http://link.springer.de/link/service/journals/00780/index.htm | - |
dc.relation.ispartof | Finance and Stochastics | - |
dc.rights | The final publication is available at Springer via http://dx.doi.org/[insert DOI] | - |
dc.subject | Mean-variance hedging | - |
dc.subject | Fuel hedging | - |
dc.subject | Energy futures market | - |
dc.title | Mean-variance hedging with oil futures | - |
dc.type | Article | - |
dc.identifier.email | Wang, L: lwang98@hku.hk | - |
dc.identifier.authority | Wang, L=rp02321 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1007/s00780-013-0203-x | - |
dc.identifier.scopus | eid_2-s2.0-84884703823 | - |
dc.identifier.hkuros | 287662 | - |
dc.identifier.hkuros | 287520 | - |
dc.identifier.volume | 17 | - |
dc.identifier.issue | 4 | - |
dc.identifier.spage | 641 | - |
dc.identifier.epage | 683 | - |
dc.identifier.isi | WOS:000324834300001 | - |
dc.publisher.place | Germany | - |
dc.identifier.issnl | 0949-2984 | - |