In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...

In this paper we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is computed using a spectral risk measure, thus incorporating the degree of agent's risk aversion. We empirically estimate the optimal hedge ratio using a long time series of UK...