Gilbert, Scott; Jones, Samuel Kyle; Morris, Gay Hatfield - In: Journal of Futures Markets 26 (2006) 5, pp. 503-520
The impact of skewness in the hedger's objective function is tested using a model of hedging derived from a third‐order Taylor Series approximation of expected utility. To determine the effect of price skewness upon hedging and speculation, analytical results are derived using an example of...