Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5053121 | Economic Modelling | 2017 | 17 Pages |
Abstract
This paper analyses the demand for energy sector by employing a model form strategic asset allocation literature and quantifying the welfare losses incurred by an investor due to sub-optimal asset allocation. Our sample group includes fifteen major oil producing and consuming countries. We analyze the short-run and long-run desirability of energy sector in the optimal portfolio of an investor with varying level of risk aversion; that is, risk averse and risk tolerant investors. Our results show that the portfolio demand for energy sector is myopic or short-run. For long-run investors, investing in a portfolio of equity market and government bonds is a better proposition. In addition, energy sector is more desirable for risk tolerant investors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Zaghum Umar,