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Communication dans un congrès

Modeling ex-ante risk premia in the oil market

Abstract : Using survey-based data we show that oil price expectations are not rational, implying that the ex-ante premium is a more relevant concept than the widely popular expost premium. We propose for the 3-and 12-month horizons a portfolio choice model with risky oil assets and a risk-free asset. At the maximized expected utility the risk premium is defined as the risk price times the expected oil return volatility. A state-space model, where the risk prices are represented as stochastic unobservable components and where expected volatilities depend on historical squared returns, is estimated using Kalman filtering. We find that the representative investor is risk seeking at short horizons and risk averse at longer horizons. We examine the economic factors driving risk prices whose signs are shown to be consistent with the predictions of the prospect theory. An upward sloped term structure of oil risk premia prevails in average over the period.
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Communication dans un congrès
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https://hal.archives-ouvertes.fr/hal-03318785
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Soumis le : mardi 10 août 2021 - 22:11:55
Dernière modification le : jeudi 21 octobre 2021 - 15:16:24
Archivage à long terme le : : jeudi 11 novembre 2021 - 18:23:06

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  • HAL Id : hal-03318785, version 1

Citation

Georges Prat, Remzi Uctum. Modeling ex-ante risk premia in the oil market. 5th International Workshop on Financial Markets and Nonlinear Dynamics (FMND), Jun 2021, Paris, France. ⟨hal-03318785⟩

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