✦ LIBER ✦
Optimal futures heading: Quadratic versus exponential utility functions
✍ Scribed by Donald Lien
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 209 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
Although quadratic and exponential utility functions both lead to mean‐variance expected utility analysis, this study demonstrates that the two approaches produce different optimal futures hedging decisions. Specifically, the deviation between the optimal production level and the optimal futures position is always smaller under the exponential utility framework. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 208–211, 2008