The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach

The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach

Abstract In this study, we propose a Gram-Charlier expansion approach to investigate the impact of skewness and kurtosis on production and hedging decisions. Consistent with the existing literature, we find that skewness and kurtosis do not affect decisions regarding optimal production; however, the...

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Bibliographic Details
Main Authors: Xuejun Jiang, Lingju Cheng, Xinjie Dai
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
Forward contract
Hedging
Skewness and kurtosis
Gram-Charlier distribution
Online Access:https://doi.org/10.1186/s40854-024-00680-w
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