Ethem Çanakoglu

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We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function belongs to the HARA family and the market states change according to a Markov chain. The states of the market describe the prevailing economic, …nancial,(More)
We consider the optimal portfolio selection problem in a multiple period setting where the investor maximizes the expected utility of the terminal wealth in a stochastic market. The utility function has an exponential structure and the market states change according to a Markov chain. The states of the market describe the prevailing economic, financial,(More)
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(More)
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