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Phone: +33 (0)
romain.menier@agrocampus-ouest.fr

PhD topic

Cross-hedging and modeling of the dependence structure between oilseed / biofuel prices

First, we will model the non-linear dependence structure of the different oil products to which Saipol is exposed and will seek to determine the different economic and industrial variables impacting the valuation of their production.
In a second step we will develop the portfolio optimization program associated with this type of non-linear dynamics and estimate the optimal weights allowing minimization of the uncertainty resulting from the hedging strategy implemented.
Finally we will study the liquidity of each asset and possibly propose cross-hedging strategies in order to limit the liquidity risk.

• Directeur : Alexandre Gohin, INRAE, UMR SMART, 35000 Rennes, France
• Co-encadrant : Guillaume Bagnarosa, Rennes School of Business, 35000 Rennes, France

Research topics

• Multivariate econometric models
• Risk management
• Oilseeds and energy