PhD Defence

Romain Menier will defend his PhD in front of the following jury:

• Joëlle Miffre (Audencia Business School), reviewer
• Michel Robe (University of Richmond), reviewer
• Marilyne Huchet, (Institut Agro Rennes-Angers), examiner
• Guillaume Bagnarosa (Rennes School of Business), co-supervisor
• Alexandre Gohin (INRAE), co-supervisor
• Jean-Philippe Penet (Saipol-Groupe Avril), guest
• Bastien Le Bouhellec (Saipol-Groupe Avril), guest

Abstract

In a context of significant price fluctuations in oilseed products observed in recent years, this PhD thesis explores price dynamics in the European vegetable oils sector and biofuel production. Chapter 1 analyzes the daily dynamics of the conditional variance-covariance matrix of European vegetable oils. It highlights how energy prices influence trends and how stock-to-use ratios affect covariances. We demonstrate the role of industrial technical specificities in shaping these relationships, and how they connect to economic concepts of complementarity and substitutability. Chapter 2 models the price dynamics of glycerine, a coproduct from biodiesel production (transesterification), whose prices are published only biweekly. This chapter aims to forecast the unobservable glycerine price at a higher frequency, leveraging cointegration relationships inherent to the transesterification process. Using an EM (Expectation-Maximization) algorithm, the approach identifies key economic variables influencing price dynamics, enhancing forecasting accuracy and actionable insights for producers. Chapter 3 applies the Black-Litterman model to optimize portfolio allocation for biodiesel producers. It proposes two types of optimal portfolios, and demonstrates that using the framework developed in Chapter 2, to increase the frequency of glycerine prices with the EM algorithm, improves portfolio performance. This chapter also explores the potential for creating a glycerine futures market which would provide valuable contributions to market development.