𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the Effect of Skewness and Kurtosis Misspecification on the Hedging Error

✍ Scribed by Flavio Angelini; Marco Nicolosi

Book ID
111056427
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
291 KB
Volume
39
Category
Article
ISSN
0391-5026

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The effects of skewness on optimal produ
The effects of skewness on optimal production and hedging decisions: An application of the skew-normal distribution
✍ Donald Lien πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 100 KB πŸ‘ 2 views

## Abstract Assume that the spot price has a skew‐normal distribution. This study investigates the effect of skewness on optimal production and hedging decisions. It is shown that skewness has no effect on the optimal production level but induces the firm to become more active in futures trading. Β©