Managing Energy Price Risk using Futures Contracts: A Comparative Analysis
比较了不同能源产品（如西德克萨斯中质原油、取暖油和天然气）通过期货对冲价格风险的效果，使用方差、风险价值、预期亏损等多种风险指标，发现对冲有效但不同资产效果差异显著。
This paper carries out a comparative analysis of managing energy risk through futures hedging, for energy market participants across a broad dataset that encompasses the largest and most actively traded energy products. Uniquely, we carry out a hedge comparison using a variety of risk measures including Variance, Value at risk (VaR), and Expected Shortfall as well as a utility based performance metric for two different investor horizons; weekly and monthly. We find that hedging is effective across the spectrum of risk measures we employ. We also find significant differences in both the hedging strategies and the hedging effectiveness of different energy assets. Better performance is found for West Texas Intermediate Oil and Heating Oil while the poorest performer in hedging terms is Natural Gas.