The Library
Robust trading in spot and forward oligopolistic markets
Tools
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. doi:10.1016/j.ijpe.2011.12.005 ISSN 0925-5273.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1016/j.ijpe.2011.12.005
Abstract
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 | ||||
Publisher: | Elsevier | ||||
ISSN: | 0925-5273 | ||||
Official Date: | July 2012 | ||||
Dates: |
|
||||
Volume: | Vol.138 | ||||
Number: | No.1 | ||||
Page Range: | pp. 35-45 | ||||
DOI: | 10.1016/j.ijpe.2011.12.005 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |