A risk model for assessing exposure factors influence oil price fluctuations

The impact of oil price volatility on the global economy is considerable. However, the uncertainty of crude oil prices is affected by many risk factors. Several prior studies have examined the factors that impact oil price fluctuations, but these methods are unable to indicate their dynamic non-fundamental factors. To address this issue, we propose a risk model inspired by the Mean-Variance Portfolio theory. The model can automatically construct optimal portfolios that seek to maximize returns with the lowest level of risk without needing human intervention. The results demonstrate a significant asymmetric cointegrating correlation between oil price volatility and non-fundamental factors.