Conlon, Thomas; Cotter, John; Gencay, Ramazan - Geary Institute, University College Dublin - 2012
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 … particular, investors with high levels of risk aversion and a short horizon reduce the risk of the hedge portfolio but achieve …