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Joint optimal ordering and weather hedging contract decisions: a newsvendor model.

Yeung Yun Sing Samson. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 64-67). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background --- p.5 / Chapter 2.1 --- Applicability of Weather Derivative in Hong Kong: The Recre- ation Industry --- p.7 / Chapter 2.2 --- Types of Weather Risk --- p.9 / Chapter 3 --- Literature Review --- p.12 / Chapter 4 --- Basic Model --- p.17 / Chapter 4.1 --- Notations --- p.18 / Chapter 4.2 --- Assumptions --- p.21 / Chapter 4.3 --- The Profit Model --- p.22 / Chapter 5 --- Fundamental Analysis --- p.25 / Chapter 5.1 --- Sales Profit Analysis --- p.25 / Chapter 5.2 --- Option Analysis --- p.27 / Chapter 5.3 --- Profit Function Reformulation --- p.30 / Chapter 6 --- Objectivel: Lexicographic Optimization --- p.35 / Chapter 6.1 --- Equivalence between Lexicographic Optimization and Expected Utility Maximization --- p.38 / Chapter 6.2 --- Minimizing the Conditional Profit Variance given Q* --- p.39 / Chapter 6.3 --- Numerical Examples --- p.42 / Chapter 6.3.1 --- Convexity of conditional profit variance --- p.42 / Chapter 6.3.2 --- Correlation between Q* & N* --- p.47 / Chapter 7 --- Objective2: Mean-Variance Optimization --- p.52 / Chapter 7.1 --- Numerical Examples --- p.59 / Chapter 8 --- Conclusion and Future Work --- p.61 / Bibliography --- p.64 / Chapter A --- Weather Option Pricing --- p.68 / Chapter B --- Infeasibility of Perfect Hedge --- p.70

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325367
Date January 2005
ContributorsYeung, Yun Sing Samson., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, vii, 71 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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