【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。更多还原

【Abstract】 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.更多还原