Cornell University
Library
Cornell UniversityLibrary

eCommons

Help
Log In(current)
  1. Home
  2. College of Engineering
  3. Operations Research and Information Engineering
  4. ORIE Technical Reports
  5. Mean-variance hedging with oil futures

Mean-variance hedging with oil futures

File(s)
Tech Report 1481.pdf (611.45 KB)
Tech Report 1481
Permanent Link(s)
https://hdl.handle.net/1813/23567
Collections
ORIE Technical Reports
Author
Wang, Liao
Wissel, Johannes
Abstract

We 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.

Date Issued
2011-08-29
Keywords
mean-variance hedging
•
hedging
•
fuel hedging
•
energy futures market
Type
technical report

Site Statistics | Help

About eCommons | Policies | Terms of use | Contact Us

copyright © 2002-2026 Cornell University Library | Privacy | Web Accessibility Assistance