An empirical analysis of the risk of crude oil imports in China using improved portfolio approach

doi:10.1016/j.enpol.2007.02.009

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	An empirical analysis of the risk of crude oil imports in China using improved portfolio approach
	Wu, Gang ; Wei, Yi-Ming ; Fan, Ying ; Liu, Lan-Cui
	2007-08-01
发表期刊	ENERGY POLICY
ISSN	0301-4215
卷号	35 期号:8 页码:4190-4199
摘要	This paper quantifies the diversification index of China's crude oil imports during the period 1996-2004, and explores the relationship between the monthly prices and Brent crude oil cash prices. Accordingly, we calculate the systematic and specific risks using portfolio theory of China's crude oil import over the period 1996-2004. Because China's crude oil import increased rapidly since 1996, we improve upon the traditional portfolio theory and develop a risk index model of portfolio theory for crude oil imports in order to explore objectively the changes in China's crude oil import risks. The results show that China's crude oil import risk is affected extensively by the fluctuation of international oil prices. So the traditional portfolio theory is insufficient to measure China's crude oil import risk. The improved portfolio theory risks index model reflects the effect of international oil prices, diversification, imports, and geopolitics factors etc., on crude oil import risk, and changes in crude oil import risk. Therefore, the risk index model of portfolio theory provides greater theoretical and methodological robustness as an indicator of China's crude oil import security than that offered from the application of traditional measures of dependence. (c) 2007 Elsevier Ltd. All rights reserved.
关键词	risk index crude oil import risk diversification
DOI	10.1016/j.enpol.2007.02.009
语种	英语
WOS研究方向	Energy & Fuels ; Environmental Sciences & Ecology
WOS类目	Energy & Fuels ; Environmental Sciences ; Environmental Studies
WOS记录号	WOS:000247881800022
出版者	ELSEVIER SCI LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4920
专题	中国科学院数学与系统科学研究院
通讯作者	Wei, Yi-Ming
作者单位	1.CAS, IPM, Ctr Energy & Environm Policy Res, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Wu, Gang,Wei, Yi-Ming,Fan, Ying,et al. An empirical analysis of the risk of crude oil imports in China using improved portfolio approach[J]. ENERGY POLICY,2007,35(8):4190-4199.
APA	Wu, Gang,Wei, Yi-Ming,Fan, Ying,&Liu, Lan-Cui.(2007).An empirical analysis of the risk of crude oil imports in China using improved portfolio approach.ENERGY POLICY,35(8),4190-4199.
MLA	Wu, Gang,et al."An empirical analysis of the risk of crude oil imports in China using improved portfolio approach".ENERGY POLICY 35.8(2007):4190-4199.