Publication details
Hedging of Brent
| Authors | |
|---|---|
| Year of publication | 2016 |
| Type | Article in Proceedings |
| Citation | |
| Keywords | Brent, Spot, Futures, Risk, Hedging |
| Description | The paper examines a possibility for hedging against price risk on the oil Brent index. Crude oil is one of the most traded commodity in the world. The importance of crude oil is for a modern life essential. However, the trading with the commodity is associated with a considerable price risk. The aim of the paper is to identify the risk and afterwards create a hedging portfolio to eliminate price risk. The relation in spot and futures will be investigated. Further, the hedging effectiveness of short hedging will be measured on real data. The weight of hedging instrument will be found using historical data according three different methods. |
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