Robust portfolio selection problem under temperature uncertainty
详细信息 查看全文
- 作者：Nalâ ; n Gü ; lpınar ; a ; Nalan.Gulpinar@wbs.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Ethem Ç ; anakoḡlub
- 关键词：Robust investment decisions ; Temperature uncertainty ; Asset allocation ; Weather derivatives
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：16 January 2017
- 年：2017
- 卷：256
- 期：2
- 页码：500-523
- 全文大小：1188 K
文摘
- •
A portfolio selection problem under temperature uncertainty is studied.
- •
CVaR portfolio optimization is considered for scenario-based uncertainty set.
- •
Robust counterparts of the problem are derived using advanced uncertainty sets.
- •
Risk references are incorporated in the suggested robust framework.
- •
Computational experiments are presented.