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Examines the effects of geopolitical and climate policy risks on oil markets, suggesting implications for investment strategies.
This study examines the impact of geopolitical and climate policy uncertainties on crude oil market connectivity and evaluates three portfolio risk optimization strategies. Using the Time-Frequency Vector Autoregression approach, we find that total crude oil mark, geopolitical risk (GPR ) and climate policy uncertainty (CPU) are strongly integrated when the connectedness is more pronounced in the short term, characterized by a series of booms and busts. Our analysis of mean-variance, minimum correlation portfolio, and minimum connectedness portfolio strategies reveals that investing in Crude Oil may contribute to reduce total portfolio risk.
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Mejri et al. (2026) studied this question.
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