The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution

Donald Lien

Journal of Futures Markets, 2010, vol. 30, issue 3, 278-289

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

Date: 2010
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