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.

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Year of publication:	2004
Authors:	Hao, Jianqiang ; Hartell, Jason G. ; Skees, Jerry R.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Resource /Energy Economics and Policy

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Extent:	application/pdf
Series:	2004 Annual meeting, August 1-4, Denver, CO.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2004 Annual meeting, August 1-4, Denver, CO Number 19926
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005338348