Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4960224 | European Journal of Operational Research | 2017 | 24 Pages |
Abstract
In this paper, we consider a portfolio selection problem under temperature uncertainty. Weather derivatives based on different temperature indices are used to protect against undesirable temperature events. We introduce stochastic and robust portfolio optimization models using weather derivatives. The investors' different risk preferences are incorporated into the portfolio allocation problem. The robust investment decisions are derived in view of discrete and continuous sets that the underlying uncertain data in temperature model belong. We illustrate main features of the robust approach and performance of the portfolio optimization models using real market data. In particular, we analyze impact of various model parameters on different robust investment decisions.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Nalân Gülpınar, Ethem Ãanakoḡlu,