OPTIMAL FUTURES HEADING: QUADRATIC VERSUS EXPONENTIAL UTILITY FUNCTIONS DONALD LIEN 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 It is well known that, when the utility function is quadratic or exponential with normal random variables, the expected utility depends upon only the mean and variance. However, these two approaches should not be treated as equivalents as they often lead to different optimal decisions. In this note, the difference within the optimal futures hedging framework is illustrated. The author wishes to acknowledge an anonymous referee and James Groff for helpful comments and sug- gestions. For correspondence, International Business Program, College of Business, University of Texas–San Antonio, One UTSA Circle, San Antonio, TX 78249; e-mail: don.lien@utsa.edu Received November 2006; Accepted February 2007 ■ Donald Lien is the Richard S. Liu Distinguished Chair in Business in the College of Business at the University of Texas at San Antonio in San Antonio, TX. The Journal of Futures Markets, Vol. 28, No. 2, 208–211 (2007) © 2008 Wiley Periodicals, Inc. Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10:1002/fut.20274