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Article Dans Une Revue Annals of Operations Research Année : 2022

Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach

Résumé

Timing the selling of crude oil futures to control risk is a worth studying question given the swift fall of their prices. This paper proposes an optimal stopping model to find the optimal selling time at the beginning of the downtrend. The model depends on the crude oil futures prices drawdown and the boundary to identify the occurrence of downtrend in real-time. The numerical simulation and empirical analyses help verify the effectiveness of the proposed optimal stopping time model, especially, in 2007, when the model can effectively avoid losses. The conclusions of the paper provide a new perspective for investors to control risk. \textcopyright 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
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Dates et versions

hal-04452669 , version 1 (12-02-2024)

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Citer

S. Boubaker, Zhenya Liu, Yaosong Zhan. Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach. Annals of Operations Research, 2022, 313 (1), pp.9-27. ⟨10.1007/s10479-021-04092-2⟩. ⟨hal-04452669⟩
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