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

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  • Donald Lien

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

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  • Donald Lien, 2010. "The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(3), pages 278-289, March.
    • Handle: RePEc:wly:jfutmk:v:30:y:2010:i:3:p:278-289
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    Cited by:

    1. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    2. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.

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