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QUESTION 6 Suppose that the standard deviation of quarterly changes in the prices of a commodity is $0.66, the standard deviation of quarterly changes in

QUESTION 6 Suppose that the standard deviation of quarterly changes in the prices of a commodity is $0.66, the standard deviation of quarterly changes in a futures price on the commodity is $0.58, and the coefficient of correlation between the two changes is 0.78. What is the optimal hedge ratio for a three-month contract? O 134.48% O 51.48% O 88.76% O 68.55%

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