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Robust portfolio selection problem under temperature uncertainty
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Gulpinar, Nalan and Çanakoḡlu, Ethem (2017) Robust portfolio selection problem under temperature uncertainty. European Journal of Operational Research, 256 (2). pp. 500-523. doi:10.1016/j.ejor.2016.05.046 ISSN 0377-2217.
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Official URL: http://dx.doi.org/10.1016/j.ejor.2016.05.046
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.
Item Type: | Journal Article | ||||||||||
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Subjects: | H Social Sciences > HG Finance | ||||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Portfolio management, Weather derivatives, Risk , Asset allocation, Investments | ||||||||||
Journal or Publication Title: | European Journal of Operational Research | ||||||||||
Publisher: | Elsevier Science BV | ||||||||||
ISSN: | 0377-2217 | ||||||||||
Official Date: | January 2017 | ||||||||||
Dates: |
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Volume: | 256 | ||||||||||
Number: | 2 | ||||||||||
Page Range: | pp. 500-523 | ||||||||||
DOI: | 10.1016/j.ejor.2016.05.046 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published | ||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||
Date of first compliant deposit: | 17 June 2016 | ||||||||||
Date of first compliant Open Access: | 2 June 2018 |
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