Suppose that the standard deviation of monthly changes in the price of commodity A is $1. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A ) is $2. The correlation between the futures price and the commodity price is 0.95. What hedge ratio should be used when hedging a one month exposure to the price of commodity A? \begin{tabular}{c} 0.50 \\ \hline 0.48 \\ \hline 0.67 \\ \hline 0.60 \end{tabular} A company has a $50 million portfolio with a beta of 1.3 relative to a stock index. The futures price for a contract on the stock index is 3,000 . Futures contracts on $250 times the index can be traded. What trade is necessary to reduce beta of the portfolio to 0 ? Short 67 Contracts Long 67 Contracts Short 87 Contracts Long 87 Contracts