✦ LIBER ✦
The effects of skewness on optimal production and hedging decisions: An application of the skew-normal distribution
✍ Scribed by Donald Lien
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 100 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
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. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:278–289, 2010