Before revision:  We compare the finite sample performance of the kernel based estimator with that of empirical estimator of SRM using Monte Carlo simulation , where appropriate choice of smoothing parameter and the user's coefficient of risk aversion plays an important role . Based on our simulation study we have estimated the exponential SRM of four future index-that is Nikkei 225, Dax, FTSE 100  and Hang Seng using our proposed kernel based estimator .
After revision:  We compare the finite sample performance of the kernel based estimator with that of empirical estimator of SRM using Monte Carlo simulation , where appropriate choice of smoothing parameter and the user's coefficient of risk aversion plays an important role . Based on our simulation study we have estimated the exponential SRM of four future index-that is Nikkei 225, Dax, FTSE 100 and Hang Seng . We also perform a backtesting exercise of SRM .