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2. The variance of returns on the OPRY500 stock index futures contract is 0.0529. The variance of returns on an OPRY500 index tracking portfolio is

2. The variance of returns on the OPRY500 stock index futures contract is 0.0529. The variance of returns on an OPRY500 index tracking portfolio is 0.0361. The coefficient of correlation between the index futures returns and portfolio returns is 0.92. What is the value of the minimum variance hedge ratio? a. -1.11368 b. -0.76 c. -0.62783 d. -1.00 e. -0.89792

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