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6. A company has a $10million portfolio with a beta of 1.5. Suppose that the standard deviation of semi-annual changes in the prices of

6. A company has a $10million portfolio with a beta of 1.5. Suppose that the standard deviation of semi-annual changes in the prices of a commodity is $0.72, the standard deviation of semi-annual changes in a futures price on the commodity is $0.81, and the coefficient of correlation between the two changes is 0.9. What is the optimal hedge ratio for a six-month contract? * (1 Point) 0.642 0.8 0.9 1.2

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