Gram-Charlier展开在生产和套期保值的应用  

Application of Gram-Charlier Expansion to Production and Hedging Decision

作　　者：陈玲菊 CHEN Lingju(College of Mathematics and Data Science, Minjiang University, Fuzhou, Fujian 350108, China;Key Laboratory for Ecology and Resources Statistics of Fujian Provinc, Fuzhou, Fujian 350108, China)

机构地区：[1]闽江学院数学与数据科学学院,福建福州350108 [2]生态与资源统计福建省高校重点实验室,福建福州350108

出　　处：《闽江学院学报》2020年第5期12-16,共5页Journal of Minjiang University

基　　金：福建省教育厅中青年教师教育科研项目(JAT160383)。

摘　　要：将一类指数型效用函数的密度函数进行Gram-Charlier(GC)展开。在此基础上,利用效用函数均值的一阶条件下得到了最佳产量只取决于成本和远期价格。同时发现,在价格的偏度和峰度满足正态条件下,当远期交货价格等于即期交货价格均值时不存在投机。In this paper,we propose a Gram-Charlier(GC)expansion for the probability density function of an exponential utility function.The optimal output quantity is derived under first order conditions of the expectation of the utility function,which depends on the cost and the forward price.Meanwhile,there exists no speculative trading if the forward price is equal to the expected spot price with the skewness and kurtosis satisfying normal distribution.

关 键 词：效用函数 Gram-Charlier展开式 最佳产量 远期交货价格 

分 类 号：F832[经济管理—金融学]