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首页> 外文会议>Society of Petroleum Engineers Hydrocarbon Economics and Evaluation Symposium >Identifying Arbitrage Opportunities in Today’s Energy Market Utilizing Portfolio Optimization, the Efficient Frontier Method, Risk Management and Market Correlations
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Identifying Arbitrage Opportunities in Today’s Energy Market Utilizing Portfolio Optimization, the Efficient Frontier Method, Risk Management and Market Correlations

机译：利用投资组合优化，有效的前沿方法，风险管理和市场相关性识别当今能源市场中的套利机会

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摘要

This paper outlines an innovative technique for identifying and subsequently optimizing superior investments in the energy sector, both from the point of view from the individual and institutional investor. The first step presents how to organize perspective energy stocks and then subsequently calculate expected returns based on historical stock prices. The expected return results from the selected energy stocks are then contrasted against the S&P 500 performance over the same period to eventually illustrate the energy stocks generally performed significantly better than the market over the past 5 years. The next step outlines how to calculate and determine the optimum energy portfolio utilizing advanced portfolio theory and the efficient frontier methodology. Analysis of this optimum portfolio indicates that the optimal portfolio mix, for the given stocks, is comprised of nine energy stocks and his heavily leveraged in Super Major stock. Finally, risk mitigation strategies are discussed and a workflow for optimizing portfolio diversification is presented. The results of which indicate that seven individual stocks were needed to effectively diversify a portfolio of positively correlateable stocks to a point where the standard deviation of the portfolio would be below 8%. This information can be used by investors to identify trends and arbitrage opportunities in the energy sector. In addition, this information can be used by operating companies to effectively contrast their performance versus their peers and the sector as a whole in an effort to attract new investors and secure market confidence. Additionally, individuals and institutions can use the information and techniques presented to optimize their own risk management strategies.
机译：本文概述了一种创新技术，用于识别和随后优化在能源部门的优化投资，无论是从个人和机构投资者的角度来看。第一步提出了如何组织透视能量股，然后根据历史股票价格计算预期的回报。然后，所选能源股票的预期收益结果与同期的标准普尔500指数对比，以最终说明一般于过去5年比市场显着更好地表现出的能量股票。下一步概述了如何计算和确定利用高级产品组合理论和高效前沿方法的最佳能源组合。对此最佳产品组合的分析表明，对于给定的股票，最佳的投资组合混合由九个能源股和超大股票杠杆厂。最后，讨论了风险缓解策略，并提出了用于优化投资组合多样化的工作流程。结果表明，需要七个个体股票，以有效地使股票的股票组合多样化到投资组合的标准偏差低于8％的程度。投资者可以使用这些信息来确定能源部门中的趋势和套利机会。此外，经营公司可以使用这些信息，以便将其表现与他们的同龄人和整个行业相比，以吸引新的投资者和安全的市场信心。此外，个人和机构可以使用提供的信息和技术来优化自己的风险管理策略。

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