Commodity futures hedging, risk aversion and the hedging horizon
研究了管理层偏好（风险厌恶程度、对冲期限和预期收益）对最优期货对冲策略及绩效的影响，发现高风险厌恶和短期限的对冲者虽降低风险但效用较低。
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 distinct management preferences and are supportive of the hedging policies of real firms. Hedging performance is further shown to be strongly dependent on underlying preferences. In particular, hedgers with high risk aversion and short horizon reduce hedge portfolio risk but achieve inferior utility in comparison to those with low aversion.