Optimal Inter-Period Weighting of Cumulative Indices for Weather-Based Contingent Claims

Weather-based contingent claims typically rely on a cumulative index of the weather variable. Frequently, the index is weighted to reflect the importance of timing in a weather-production relationship. This article reviews alternative optimization methods and apply criteria for selecting among them to obtain an optimal and robust distribution of weights.


Issue Date:
2004
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/19926
Total Pages:
24
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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