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The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution
Author(s) -
Lien Donald
Publication year - 2010
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.20413
Subject(s) - skewness , skew , futures contract , production (economics) , economics , skew normal distribution , econometrics , distribution (mathematics) , financial economics , microeconomics , mathematics , computer science , telecommunications , mathematical analysis
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