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Robust investment decisions under supply disruption in petroleum markets
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Gulpinar, Nalan, Çanakoğlu, Ethem and Pachamanova, Dessislava (2014) Robust investment decisions under supply disruption in petroleum markets. Computers & Operations Research, 44 . pp. 75-91. doi:10.1016/j.cor.2013.08.006 ISSN 0305-0548.
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Official URL: http://dx.doi.org/10.1016/j.cor.2013.08.006
Abstract
Energy-dependent economies and energy security strategies need to cope with oil and gas supply disruptions that are rare but persistent and can be financially catastrophic. This paper proposes a tractable approach for determining robust investment strategies in petroleum markets under the risk of supply disruption when asset prices follow geometric mean-reverting jump processes. The robust counterpart of the portfolio management problem under supply disruption is derived for several symmetric and asymmetric representations of the uncertainties in the problem. Computational experiments with real market data indicate that the robust optimization approach using uncertainty sets tailored to the characteristics of the data results in strategies with superior worst-case performance.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
| Journal or Publication Title: | Computers & Operations Research | ||||||
| Publisher: | Elsevier BV | ||||||
| ISSN: | 0305-0548 | ||||||
| Official Date: | April 2014 | ||||||
| Dates: |
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| Volume: | 44 | ||||||
| Page Range: | pp. 75-91 | ||||||
| DOI: | 10.1016/j.cor.2013.08.006 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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