In this Article we have analysed the implications for portfolio optimisation of returns on investment not distributed normally. We have focused our activities on analysing higher moments of distribution of returns and, in particular, on lopsidedness as the third moment of distribution. So, the...

Price movements in many commodity markets exhibit significant seasonal patterns. However, given an observed futures price, a deterministic seasonal component at the price level is not relevant for the pricing of commodity options. In contrast, this is not true for the seasonal pattern observed...