Question
Prove that Optimal Hedge Ratio, h * , for hedging strategies using futures equals to F S h = * , where S is the
Prove that Optimal Hedge Ratio, h * , for hedging strategies using futures equals to F S h = * , where S is the standard deviation of the change in the spot price during the hedging period, S; F is the standard deviation of the change in the futures price during the hedging period, F; is the coefficient of correlation between S and F.
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The Oxford Handbook Of The Sociology Of Finance
Authors: Karin Knorr Cetina, Alex Preda
1st Edition
0198708777, 978-0198708773
