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If the standard deviation of the spot price and forward price changes are 3% and 5%, respectively and the spot and forward prices are perfectly
If the standard deviation of the spot price and forward price changes are 3% and 5%, respectively and the spot and forward prices are perfectly positively correlated, the optimal hedge ratio is equal to
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Stocks Bonds And The Investment Horizon
Authors: Haim Levy
1st Edition
9811250146, 978-9811250149
