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An investor considers hedging the price risk of a stock. For hedging, two futures contracts A and B are available. The correlation coefficient between the

An investor considers hedging the price risk of a stock. For hedging, two futures contracts A and B are available. The correlation coefficient between the stock price and the futures price is 0.8 for A and -0.9 for B. Then, the investor should use futures B to obtain the lower variance of the portfolio value.

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