This paper examines the impact of management preferences on optimal futures hedging strategy and associated performance …. Applying an expected utility hedging objective, the optimal futures hedge ratio is determined for a range of preferences on … risk aversion, hedging horizon and expected returns. Empirical results reveal substantial hedge ratio variation across …

This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging … performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a mean-variance hedging objective …, the optimal futures hedging ratio is determined for a range of investor preferences on risk aversion, hedging horizon and …