The value of commodity price forecasts in the presence of futures under uncertainty

Simple item page
dc.contributor.advisorJablonowski, Christopher J.
dc.creatorMacAskie, Robert Marcus
dc.date.accessioned2017-04-26T19:46:50Z
dc.date.available2017-04-26T19:46:50Z
dc.date.issued2007-08
dc.description.abstractThis thesis examines the value obtained from the implementation of energy commodity forecasts in the context of a hedging decision. A decision-analytic model to value commodity price forecasts in the presence of futures is developed and subsequently applied to a data set of crude oil and natural gas prices. The findings include a method for evaluating the added value of such forecasts as well as appropriate improvements in forecast attributes to increase forecast value. Furthermore, it is found that for forecasts to be valuable, they must be accurate at predicting both gains and losses, and that there are positive and diminishing marginal returns to forecast value from improvement in key measure of accuracy in most cases. Forecast value is specific to user class, and that value is unique to specific users within each class. Lastly, the inclusion of an exponential utility function into the decision-analytic model enhances the reality of the decision characteristics of actual producers and consumers of crude oil. It is found that a producer or consumer of the commodity must be highly risk averse for price forecasts to have value when considering profit maximization alone among price forecast benefits.en_US
dc.description.departmentPetroleum and Geosystems Engineeringen_US
dc.format.mediumelectronicen_US
dc.identifierdoi:10.15781/T28W38741
dc.identifier.urihttp://hdl.handle.net/2152/46597
dc.language.isoengen_US
dc.relation.ispartofUT Electronic Theses and Dissertationsen_US
dc.rightsCopyright © is held by the author. Presentation of this material on the Libraries' web site by University Libraries, The University of Texas at Austin was made possible under a limited license grant from the author who has retained all copyrights in the works.en_US
dc.rights.restrictionRestricteden_US
dc.subjectCommodity pricesen_US
dc.subjectForecastsen_US
dc.subjectCrude oilen_US
dc.subjectNatural gasen_US
dc.titleThe value of commodity price forecasts in the presence of futures under uncertaintyen_US
dc.typeThesisen_US
dc.type.genreThesisen_US
thesis.degree.departmentPetroleum and Geosystems Engineeringen_US
thesis.degree.disciplinePetroleum Engineeringen_US
thesis.degree.grantorUniversity of Texas at Austinen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Scienceen_US

Access full-text files

Original bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
txu-oclc-173260203.pdf
Size:
786.5 KB
Format:
Adobe Portable Document Format
Description:
Access restricted to UT Austin EID holders
Download

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.66 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

UT Electronic Theses and Dissertations