Date of Award
Master of Science (MS)
Economics and Finance
This paper focuses on oil hedging using near month crude oil futures. Hedging may allow a firm to reduce risks and focus on areas of comparative advantage. Hedging requires a firm to estimate ex-ante the correct hedge ratio. The portfolio optimization framework allows for OLS to be applied to the estimation of a hedge ratio. Reinforcement Learning is another method available to hedgers to estimate a hedge ratio. Three strategies using econometric tools and one using Reinforcement Learning are estimated and tested against 2019 oil price data.
Bullard, Evan, "Reinforcement Learning for Dynamic Futures Hedging" (2020). All Graduate Plan B and other Reports. 1479.
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