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PRODID:-//AMSE//Event Calendar//FR
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UID:event-9612@www.amse-aixmarseille.fr
DTSTAMP:20260421T105605Z
CREATED:20260421T105605Z
LAST-MODIFIED:20260421T105605Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:finance seminar - George Prat
DTSTART:20221108T133000Z
DTEND:20221108T133000Z
DESCRIPTION:The oil risk premium (ORP) is defined as the relative differenc
 e between the expected oil price and the oil futures price. Survey data rev
 ealing the expected values of the oil price three and twelve months ahead\,
  we can thus directly assess the ex-ante ORP for these two horizons. Such e
 x-ante ORPs differ greatly from the ex-post ORPs widely considered in the l
 iterature which are built by replacing the expected price by the ex-post sp
 ot price. A simple portfolio choice model leads us to express each of the t
 wo ex-ante ORPs by the product of the price of risk and the expected varian
 ce of the oil return\, these two components being both time-varying and hor
 izon dependent. For each horizon\, the unobservable risk price is represent
 ed as a stochastic variable using Kalman filtering method while the expecte
 d variance is proxied as the weighted average of past instantaneous varianc
 es. Considering monthly data covering thirty years\, positive and negative 
 values of risk prices turn out to be consistent with the predictions of the
  prospect theory and are shown to be correlated with a number of economic a
 nd oil market-related factors. The representative investor is found to be m
 ostly risk seeking at the short horizon and mostly risk averse at the longe
 r horizon. An upward sloping term structure of ex-ante ORPs is highlighted 
 over our period which is rather well described by our modelling.\\n\\nConta
 ct: Eric Girardin: eric.girardin[at]univ-amu.frGaël Leboeuf: gael.leboeuf[
 at]univ-amu.frChristelle Lecourt: christelle.lecourt[at]univ-amu.fr\n\nPlus
  d'informations: https://www.amse-aixmarseille.fr/en/events/george-prat-0
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/george-prat-0
CONTACT:Eric Girardin: eric.girardin[at]univ-amu.frGaël Leboeuf: gael.lebo
 euf[at]univ-amu.frChristelle Lecourt: christelle.lecourt[at]univ-amu.fr
TRANSP:OPAQUE
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