Robust trading in spot and forward oligopolistic markets
Gulpinar, Nalan and Oliveira, F. S.. (2012) Robust trading in spot and forward oligopolistic markets. International Journal of Production Economics, Vol.138 (No.1). pp. 35-45. ISSN 0925-5273Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.ijpe.2011.12.005
In this article we consider the interaction between forward and spot prices and analyze trading in oligopolistic markets under uncertainty. We extend the two-stage risk-neutral stochastic model to worst-case analysis with rival demand scenarios. At the methodological level we develop a robust analysis in oligopolies and derive analytical results on the impact of demand uncertainty on the oligopolies' behavior when using robust optimal strategies. We compare the performance of robust optimization with the cases of no uncertainty and risk-neutral uncertainty. We show that under robust oligopolies the firms tend to produce more and to trade more in the forward markets, moreover, under robust optimization market prices are lower.
|Item Type:||Journal Article|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences
Faculty of Social Sciences > Warwick Business School
|Journal or Publication Title:||International Journal of Production Economics|
|Page Range:||pp. 35-45|
Actions (login required)